Gauss-Markov process
This articlenot aboutGauss-Markov theoremmathematical statistics.
As one would expect, Gauss-Markov stochastic processesstochastic processes that satisfyrequirementsboth Gaussian processesMarkov processes.
Every Gauss-Markov process X(t) possessesthree following properties:
- If h(t) isnon-zero scalar functiont, then Z(t) = h(t)X(t)alsoGauss-Markov process
- If f(t) isnon-decreasing scalar functiont, then Z(t) = X(f(t))alsoGauss-Markov process
- There existsnon-zero scalar function h(t) andnon-decreasing scalar function f(t) such that X(t) = h(t)W(f(t)), where W(t) isstandard Wiener process.
