Derivative of a differentiable stationary Gaussian process - MathOverflow most recent 30 from http://mathoverflow.net 2013-05-21T20:19:06Z http://mathoverflow.net/feeds/question/65015 http://www.creativecommons.org/licenses/by-nc/2.5/rdf http://mathoverflow.net/questions/65015/derivative-of-a-differentiable-stationary-gaussian-process Derivative of a differentiable stationary Gaussian process James Hsieh 2011-05-14T22:30:06Z 2012-08-09T20:22:01Z <p>Thanks for your help in advance. I'm interested in understanding the properties of derivatives of a differentiable stationary Gaussian process. Specifically, is the derivative also a Gaussian process?</p> http://mathoverflow.net/questions/65015/derivative-of-a-differentiable-stationary-gaussian-process/99629#99629 Answer by Hoytak for Derivative of a differentiable stationary Gaussian process Hoytak 2012-06-14T17:42:45Z 2012-06-14T17:42:45Z <p>The answer is yes in the sense that the gradient of the mean is a GP defined jointly with the original GP. I'm sure it's discussed elsewhere, but you can find derivations in section 5 of <a href="http://www.biostat.umn.edu/~sudiptob/ResearchPapers/BGjasa06.pdf" rel="nofollow">http://www.biostat.umn.edu/~sudiptob/ResearchPapers/BGjasa06.pdf</a>.</p>