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Equivalence problems for Gaussian multiple Markov processes and their canonical representations

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  • Muraoka, Hiroshi

Abstract

We obtain a necessary and sufficient condition for two given Gaussian multiple Markov processes to be equivalent. In case they are equivalent, the Radon-Nikodym density can be expressed in terms of the kernels of their canonical representations. As a development, equivalence of two random fields is discussed assuming that they are in a certain class of isotropic Gaussian fields. It is further shown that such an approach is successful for N-ple Markov Gaussian processes with multiplicity N (N [greater-or-equal, slanted] 1) within our framework.

Suggested Citation

  • Muraoka, Hiroshi, 1992. "Equivalence problems for Gaussian multiple Markov processes and their canonical representations," Stochastic Processes and their Applications, Elsevier, vol. 42(2), pages 291-306, September.
    • Handle: RePEc:eee:spapps:v:42:y:1992:i:2:p:291-306
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