Gaussian Process - Important Gaussian Processes

Important Gaussian Processes

The Wiener process is perhaps the most widely studied Gaussian process. It is not stationary, but it has stationary increments.

The Ornstein–Uhlenbeck process is a stationary Gaussian process.

The Brownian bridge is a Gaussian process whose increments are not independent.

The fractional Brownian motion is a Gaussian process whose covariance function is a generalisation of Wiener process.

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