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Liese, Friedrich
Every continuous first order autoregressive stochastic process is a Gaussian process. (English). Kybernetika, vol. 28 (1992), issue 3, pp. 227-233
MSC: 60G15, 60J99, 62M10 | MR 1174658 | Zbl 0784.60042
References:
[1] W. Feller: An Introduction to Probability Theory and 1ts Application. Vol. II. J. Wiley k Sons, New York 1971. MR 0270403
[2] J. Michálek: 1-divergence of some diffusion processes. Problems Control Inform. Theory 19 (1990), 313-338. MR 1074556
[3] A. V. Skorokhod: Processes with Independent Increments (in Russian). Nauka, Moscow 1964.
[4] I. Vajda: Distances and discrimination rates for stochastic processes. Stochastic Process. Appl. 35 (1990), 47-57. MR 1062582 | Zbl 0701.62084
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