Title :
Representations for multivariate reciprocal Gaussian processes
Author :
Carmichael, J.-P. ; Massé, Jean-claude ; Theodorescu, Radu
Author_Institution :
Dept. of Math., Stat. & Actuary, Laval Univ., Quebec, Que., Canada
fDate :
1/1/1988 12:00:00 AM
Abstract :
Multivariate reciprocal Gaussian processes are represented as a sum of two independent processes: a piecewise Markov process, which is also represented in terms of a Wiener-type process, and a time-dependent linear transformation of a normally distributed random vector. This result is then applied to the first-passage time problem
Keywords :
Markov processes; random processes; Wiener-type process; first-passage time problem; multivariate reciprocal Gaussian processes; normally distributed random vector; piecewise Markov process; time-dependent linear transformation; Councils; Covariance matrix; Gaussian processes; Markov processes; Random processes; Vectors;
Journal_Title :
Information Theory, IEEE Transactions on
