Convolutional stochastic processes

Moving averages of noise

Stochastic processes generated by convolution of white noise with smoothing kernels, which is not unlike kernel smoothing where the β€œdata” 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.


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