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Conditional quantiles of Gaussian measures in Hilbert space

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Abstract

In this paper, we present the conditional quantiles of the Gaussian measure as affine measurable functionals whose values on the Hilbert space are uniquely determined by their explicitly calculated restrictions onto the kernel of the measure.

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Authors and Affiliations

  1. Samara State University, Samara, Russia

    S. Ya. Shatskikh

Authors
  1. S. Ya. Shatskikh
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Additional information

Proceedings of the Seminar on Stability Problems for Stochastic Models, Moscow, Russia, 1996, Part I.

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Shatskikh, S.Y. Conditional quantiles of Gaussian measures in Hilbert space. J Math Sci 89, 1553–1558 (1998). https://doi.org/10.1007/BF02362291

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  • DOI: https://doi.org/10.1007/BF02362291

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