Characterization of vector valued,gaussian, stationary,markov processes |
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Affiliation: | A.P. 52120, Caracas 1050-A, Venezuela |
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Abstract: | We extend an old result by Doob characterizing real-valued, Gaussian, stationary, Markov processes to the vector case. In this case a deterministic component appears that consists of a system of harmonic oscillators while the random part is a collection of independent oscillator processes, modulo linear changes of coordinates. |
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