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Gaussian Processes with Markovian Covariances

Published online by Cambridge University Press:  20 November 2018

Dudley Paul Johnson
Dudley Paul Johnson*
Affiliation:
The University of Calgary, Calgary, Alberta
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Abstract

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We show that any Gaussian process can be derived in a simple manner from a Markov process if it has zero mean and covariance identical to the covariance of a real valued function of a temporally homogeneous Markov process.

Keywords

Gaussian processGaussian fieldMarkov process60406060
Type
Research Article
Information
Canadian Mathematical Bulletin , Volume 17 , Issue 3 , 01 September 1974 , pp. 413 - 415
Copyright
Copyright © Canadian Mathematical Society 1974

References

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3. Loeve, M., Probability Theory, 3rd ed. Van Nostrand, Princeton, New Jersey, 1963.Google Scholar