Hostname: page-component-7b7567c8c-fvjsw Total loading time: 0 Render date: 2026-11-15T01:57:19.996Z Has data issue: false hasContentIssue false

INDEPENDENCE OF DOUBLE WIENER INTEGRALS

Published online by Cambridge University Press:  01 December 2001

Seiji Nabeya
Affiliation:
Tokyo International University
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the 'Save PDF' action button.

In this paper a necessary and sufficient condition is obtained for two double Wiener integrals to be statistically independent, first in the case of symmetric and continuous kernels. It is also shown that, for more than two double Wiener integrals, pairwise independence implies mutual independence. After that, the continuity condition on the kernels is somewhat relaxed, and it is shown that Craig's (1943, Annals of Mathematical Statistics 14, 195–197) theorem on the independence of quadratic forms in normal variables is a special case of the result obtained for the case of discontinuous kernels.

Information

Type
Research Article
Copyright
© 2001 Cambridge University Press