Convolutional stochastic processes

Moving averages of noise

March 1, 2021 — August 16, 2021

Figure 1

Stochastic processes generated by convolution of white noise with smoothing kernels, which is not unlike kernel smoothing where the “data” is random. Or, to put it another way, these are processes defined as moving averages of some stochastic noise.

For now, I am mostly interested in certain special cases Gaussian convolutions and subordinator convolutions.

C&C Karhunen-Loeve expansion.

1 References

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