A matrix-valued Schoenberg's problem and its applications

DOI10.1214/23-ecp562zbMath1530.42012OpenAlexW4388678082MaRDI QIDQ6177616

Svyatoslav Novikov, Pavel Ievlev

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 processescross-variogrampositive definite functionmultivariate processesmultivariate Ornstein-Uhlenbeck processmultivariate fractional Brownian motionstationary time-seriesmatrix-valued positive definite kernels

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Unnamed Item
• Operator-valued positive definite kernels on tubes
• Alternative way to derive the distribution of the multivariate Ornstein-Uhlenbeck process
• Extremes of vector-valued Gaussian processes
• Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions
• Chance and Stability
• Vector‐valued generalized Ornstein–Uhlenbeck processes: Properties and parameter estimation
• On a theorem of Bochner

This page was built for publication: A matrix-valued Schoenberg's problem and its applications