Abstract
Theory of random processes needs a kind of normal distribution. This is why Gaussian vectors and Gaussian distributions in infinite-dimensional spaces come into play. By simplicity, importance and wealth of results, theory of Gaussian processes occupies one of the leading places in modern Probability.
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Notes
- 1.
Instead of hyperplanes one should use the circles of maximal radius.
- 2.
We basically assume the basic spectral theory of stationary processes to be known and don’t provide much details, see [182] for more.
- 3.
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Lifshits, M. (2012). Lectures on Gaussian Processes. In: Lectures on Gaussian Processes. SpringerBriefs in Mathematics. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-24939-6_1
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Print ISBN: 978-3-642-24938-9
Online ISBN: 978-3-642-24939-6
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)