On the equivalence of the measures induced by banach valued gaussian autoregressive processes (Q4237950)
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scientific article; zbMATH DE number 1275431
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| English | On the equivalence of the measures induced by banach valued gaussian autoregressive processes |
scientific article; zbMATH DE number 1275431 |
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On the equivalence of the measures induced by banach valued gaussian autoregressive processes (English)
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1 June 1999
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probability on Banach spaces
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Banach-valued autoregressive processes
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Yule-Walker equations
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0.7598832845687866
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A Banach space valued stationary Gaussian \(\text{AR}(p)\) process \((X_n\), \(n\in Z)\) generated by a white noise \((\varepsilon_t\), \(t\in Z)\) is considered. Necessary and sufficient conditions for the equivalence \(\mu_{X_0}\sim \mu_{\varepsilon_0}\) are provided, and the corresponding Radon-Nikodým derivative is derived.
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