arXiv
Open Access
2007
Dynkin's Isomorphism with Sign Structure
Kshitij Khare
Abstrak
The Dynkin isomorphism associates a Gaussian field to a Markov chain. These Gaussian fields can be used as priors for prediction and time series analysis. Dynkin's construction gives Gaussian fields with all non-negative covariances. We extend Dynkin's construction (by introducing a sign structure on the Markov chain) to allow general covariance sign patterns.
Topik & Kata Kunci
Penulis (1)
K
Kshitij Khare
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- Tahun Terbit
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