On the eigenproblem for Gaussian bridges
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Publication:2174977
Abstract: Spectral decomposition of the covariance operator is one of the main building blocks in the theory and applications of Gaussian processes. Unfortunately it is notoriously hard to derive in a closed form. In this paper we consider the eigenproblem for Gaussian bridges. Given a {em base} process, its bridge is obtained by conditioning the trajectories to start and terminate at the given points. What can be said about the spectrum of a bridge, given the spectrum of its base process? We show how this question can be answered asymptotically for a family of processes, including the fractional Brownian motion.
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Cited in
(5)- Spectral asymptotics for a class of integro-differential equations arising in the theory of fractional Gaussian processes
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