RECIPROCAL COVARIANCE SOLUTIONS OF SOME MATRIX DIFFERENTIAL-EQUATIONS

[摘要] In this paper necessary and sufficient conditions are given for the solutions of certain homogeneous matrix differential equations with constant coefficients to be covariance matrix functions of a class of multivariate reciprocal stationary Gaussian processes. These conditions involve only the coefficients of the equations and the initial values. Several examples illustrate the results obtained.

[发布日期] 1991-02-01

[关键词] GAUSSIAN PROCESSES;STATIONARY PROCESSES;RECIPROCAL PROCESSES;COVARIANCE FUNCTION