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.