A matrix-valued Schoenberg's problem and its applications

DOI10.1214/23-ECP562MaRDI QIDQ6177616zbMATH OpenOpenAlexFDO

Authors Pavel Ievlev, Svyatoslav Novikov

Publication date 17 January 2024

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/23-ecp562

zbMATH Keywords

Gaussian processesmultivariate processespositive definite functionmultivariate Ornstein-Uhlenbeck processmultivariate fractional Brownian motionstationary time-seriescross-variogrammatrix-valued positive definite kernels

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Positive definite functions in one variable harmonic analysis (42A82) Functions whose values are linear operators (operator- and matrix-valued functions, etc., including analytic and meromorphic ones) (47A56)

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Cites work

• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• Alternative way to derive the distribution of the multivariate Ornstein-Uhlenbeck process
• Chance and Stability
• Extremes of vector-valued Gaussian processes
• Multivariate transient price impact and matrix-valued positive definite functions
• On a theorem of Bochner
• Operator-valued positive definite kernels on tubes
• The Schoenberg problem on positive definite functions
• Vector-valued generalized Ornstein-Uhlenbeck processes: properties and parameter estimation

Cited in

(3)

• Analog of Schoenberg's theorem for \(a\)-conditionally negative definite matrix-valued kernels
• Rudin's extension theorems and exponential convexity for matrix- and function-valued positive semidefinite functions
• Extremes of locally-homogenous vector-valued Gaussian processes

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