Publication at Faculty of Mathematics and Physics |
2010
Abstract
: A class of random vectors (X, Y), X ∈ Rj , Y ∈ Rk with characteristic functions of the form h(s, t) = f(s)g(t) exp{s_Ct} where C is a (j × k)-matrix and prime stands for transposition is introduced and studied. The class contains all Gaussian vectors and possesses some of their properties.
A relation of the class to random vectors with Gaussian components is of a particular interest. The problem of describing all pairs of characteristic functions f(s), g(t) such that h(s, t) is a characteristic function is open.