A class of almost nowhere differentiable stationary Gaussian processes which are somewhere differentiable

P.L. Davies

    Research output: Contribution to journalArticleAcademicpeer-review

    Abstract

    A stationary Gaussian process is exhibited with the following property: the covariance function of the process is not differentiable at the origin and yet almost all the sample paths of the process are differentiable in a set of points of the power of the continuum. The process provides a counter example to a statement of Slepian.
    Original languageEnglish
    Pages (from-to)682-684
    Number of pages3
    JournalJournal of Applied Probability
    Volume10
    Issue number3
    DOIs
    Publication statusPublished - 1973

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