Definition:Gaussian Process

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Let $S$ be a stochastic process giving rise to a time series $T$.

Let the probability distribution of $T$ be a multivariate normal distribution.

Then $S$ is called a Gaussian process.

Also known as

A Gaussian process is also known as a normal process.

Source of Name

This entry was named for Carl Friedrich Gauss.


Part $\text {I}$: Stochastic Models and their Forecasting:
$2$: Autocorrelation Function and Spectrum of Stationary Processes:
$2.1$ Autocorrelation Properties of Stationary Models:
$2.1.3$ Positive Definiteness and the Autocovariance Matrix: Gaussian processes