c*******h
发帖数: 1096 | 1 Let W(t) be the standard Brownian motion. It is known that the covariance
matrix K has entries K(i,j)=min{i,j}. Now, if t is a vector instead of a
scalar (I even don't know the name of this random process), what does the
covariance matrix look like? | z****e
发帖数: 702 | 2 你说的严重不清楚。
W(t)和K是什么关系？
【在 c*******h 的大作中提到】
: Let W(t) be the standard Brownian motion. It is known that the covariance
: matrix K has entries K(i,j)=min{i,j}. Now, if t is a vector instead of a
: scalar (I even don't know the name of this random process), what does the
: covariance matrix look like?
| c*******h
发帖数: 1096 | 3 K(i,j)=cov(W(i),W(j))
【在 z****e 的大作中提到】
: 你说的严重不清楚。
: W(t)和K是什么关系？
| c*******h
发帖数: 1096 | 4 I guess it is called Brownian random field. Can anyone offer some books that
I
can consult? Thanks.
【在 c*******h 的大作中提到】
: Let W(t) be the standard Brownian motion. It is known that the covariance
: matrix K has entries K(i,j)=min{i,j}. Now, if t is a vector instead of a
: scalar (I even don't know the name of this random process), what does the
: covariance matrix look like?
| l******r
发帖数: 18699 | 5 It is called a Brownian sheet when the index is multi-dimensional
while the process is uni-dimensional
that
【在 c*******h 的大作中提到】
: I guess it is called Brownian random field. Can anyone offer some books that
: I
: can consult? Thanks.
|
|
