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The weak and strong Gaussian probabilistic realization problem
Authors:C van Putten  JH van Schuppen
Institution:Centre of Quantitative Methods, N.V. Philips'' Gloeilampenfabrieken, Eindhoven The Netherlands;Mathematical Centre, Amsterdam The Netherlands
Abstract:A classification is given of all σ-algebras that make two given σ-algebras conditionally independent in the case that the σ-algebras are generated by finite dimensional Gaussian random variables. In addition a classification is given of all Gaussian measures that have the conditional independence property and such that restricted to a subspace, they coincide with a given measure.
Keywords:Conditional independence  Gaussian random variables  canonical variable representation  sufficient statistics  stochastic systems  93E03  93E12  60A10  60J05
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