A note on the cross-covariance operator and on congruence relations for Hilbert space valued stochastic processes

作者：King David^*

来源：Statistics & Probability Letters, 2010, 80(5-6): 361-365.

DOI：10.1016/j.spl.2009.11.011

Explicit formulas are derived for the congruence mappings that connect three Hilbert spaces associated with a second-order stochastic process. In particular, an insightful expression is obtained for the mapping that connects a process to its corresponding reproducing kernel Hilbert space. in addition, a useful infinite dimensional extension of a result from Khatri (1976) which pertains to cross-covariance operators is provided.

• 出版日期2010-3-1