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Topic: How to decide if a vector process is a Gaussian Vector processes?
Replies: 2   Last Post: May 24, 2006 12:53 PM

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networm

Posts: 327
Registered: 10/6/05
Re: How to decide if a vector process is a Gaussian Vector processes?
Posted: May 22, 2006 10:22 PM
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Stephen Montgomery-Smith wrote:
> comtech wrote:
> > Hi all,
> >
> > Suppose I have a vector random process call it Xt,
> >
> > where Xt is a vector of [X1t, X2t, X3t, ... Xm_t], so there are m
> > sub-processes inside this vector random process.
> >
> > What are the conditions that the whole vector process is a Gaussian
> > vector process?
> >
> > Maybe I just need to decide whether each individual process is Gaussian
> > or not?
> >
> > Does individual Gaussianity of each individidual process <=> the whole
> > vector process is Gaussian?
> >

>
> No. For example,
>
> X1 = g
> X2 = s g
>
> where g is a centered Gaussian and s takes the value plus or minus 1
> with prob 1/2, and g and s are independednt r.v.


Okay, so what's the precise statement for judging a vector process is a
Gaussian vector process?

Thanks a lot!




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