Hostname: page-component-cd9895bd7-dzt6s Total loading time: 0 Render date: 2024-12-23T05:46:12.253Z Has data issue: false hasContentIssue false

On the Multiplicity of a Stochastic Vector Process

Published online by Cambridge University Press:  05 September 2017

Abstract

This note deals with a q-dimensional stochastic vector process x(t) = {x1 (t), …, xq (t)}, satisfying certain stated general conditions. For such a process, there is a representation (1) in terms of stochastic innovations acting throughout the past of the process. The number N of terms in this representation is called the multiplicity of the x(t) process, and is uniquely determined by the process. For a one-dimensional process (q = 1) it is known that under certain conditions we have N = 1. For an arbitrary value of q, this note gives conditions under which we have Nq.

Type
Part V — Stochastic Processes
Copyright
Copyright © 1975 Applied Probability Trust 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

[1] Ephremides, A. and Thomas, J. B. (Editors) (1973) Random Processes, Multiplicity Theory and Canonical Decompositions. Dawden, Hutchinson and Ross. Distributed by Wiley, London.Google Scholar