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Discrimination with respect to a Gaussian process
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  • Published: January 1986

Discrimination with respect to a Gaussian process

  • C. R. Baker1 &
  • A. F. Gualtierotti2 

Probability Theory and Related Fields volume 71, pages 159–182 (1986)Cite this article

Summary

Let (N t) and (Y t), t in [0,1], be stochastic processes on (Ω, ℬ, P). Suppose that (N t) is Gaussian, m.s. continuous, zero mean, and vanishes a.s. at t=0. Let v Y and v N be the induced measures on ℝ[0,1]. Conditions are obtained for v Y to be absolutely continuous w.r.t. v N. Expressions for the Radon-Nikodym derivative are derived. Further results on these problems are obtained for measures induced on L 2[0, 1] and on C[0, 1].

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Author information

Authors and Affiliations

  1. Department of Statistics, University of North Carolina, 27514, Chapel Hill, NC, USA

    C. R. Baker

  2. IDHEAP, BFSH I, University of Lausanne, CH-1015, Lausanne, Switzerland

    A. F. Gualtierotti

Authors
  1. C. R. Baker
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  2. A. F. Gualtierotti
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Additional information

Research supported by ONR Contracts N 00014-75-C-0491 and N 00014-81-K-0373

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Baker, C.R., Gualtierotti, A.F. Discrimination with respect to a Gaussian process. Probab. Th. Rel. Fields 71, 159–182 (1986). https://doi.org/10.1007/BF00332309

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  • Received: 19 April 1984

  • Revised: 15 October 1984

  • Issue Date: January 1986

  • DOI: https://doi.org/10.1007/BF00332309

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Keywords

  • Stochastic Process
  • Probability Theory
  • Statistical Theory
  • Gaussian Process
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