5.4 - Gaussian Processes
Definition 5.9: A stochasitc process $\{X_t\}_{t \geq 0}$ is a Gaussian Process if its finite dimensional distributions are consistent Gaussian measures for any $0 \leq t_1 < t_2 < \ldots < t_k$. Recall that a Gaussian random vector $\mathbf{X} = (X_1, X_2,\ldots,X_n)^T$ is completely characterized by its first and second moments $$\mathbf{m} = \mathbb{E}[\mathbf{X}], \quad \mathbf{K} = \mathbb{E}[(\mathbf{X} - \mathbf{m}) (\mathbf{X} - \mathbf{m})^T]$$Meaning that the characteristic function is expressed only in terms of $\mathbf{m}$ and $\mathbf{K}$ ...