Notes on Gaussian processes and majorizing measures
نویسنده
چکیده
Consider a Gaussian process {Xt}t∈T for some index set T . This is a collection of jointly Gaussian random variables, meaning that every finite linear combination of the variables has a Gaussian distribution. We will additionally assume that the process is centered, i.e. E(Xt) = 0 for all t ∈ T . It is well-known that such a process is completely characterized by the covariances {E(XsXt)}s,t∈T . For s, t ∈ T , consider the canonical distance,
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