Published March 1, 1999
| public
Journal Article
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Absolute continuity between the Wiener and stationary Gaussian measures
- Creators
- Keich, U.
Chicago
Abstract
It is known that the entropy distance between two Gaussian measures is finite if, and only if, they are absolutely continuous with respect to one another. Shepp (1966) characterized the correlations corresponding to stationary Gaussian measures that are absolutely continuous with respect to the Wiener measure. By analyzing the entropy distance, we show that one of his conditions, involving the spectrum of an associated operator, is essentially extraneous, providing a simple criterion for finite entropy distance in this case.
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© Copyright 1999 Pacific Journal of Mathematics. Received July 6, 1998.Files
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- 712
- Resolver ID
- CaltechAUTHORS:KEIpjm99a
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2005-09-16Created from EPrint's datestamp field
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2019-10-02Created from EPrint's last_modified field