Processes with Finite Second Moments. Gaussian Processes

  • Alexandr A. Borovkov
Part of the Universitext book series (UTX)


The chapter is devoted to the classical “second-order theory” of time-homogeneous processes with finite second moments. Section 22.1 explores the relationships between the covariance function properties and those of the process itself and proves the ergodic theorem (in quadratic mean) for processes with covariance functions vanishing at the infinity. Section 22.2 is devoted to the special case of Gaussian processes, while Sect. 22.3 solves the best linear prediction problem.


Covariance Function Gaussian Process Conditional Distribution Strict Sense Ergodic Theorem 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Copyright information

© Springer-Verlag London 2013

Authors and Affiliations

  • Alexandr A. Borovkov
    • 1
  1. 1.Sobolev Institute of Mathematics and Novosibirsk State UniversityNovosibirskRussia

Personalised recommendations