Joint measures and cross-covariance operators
Joint measures and cross-covariance operators
Let ${H_1}$ (resp., ${H_2}$) be a real and separable Hilbert space with Borel $\sigma$-field ${\Gamma _1}$ (resp., ${\Gamma _2}$), and let $({H_1} \times {H_2},{\Gamma _1} \times {\Gamma _2})$ be the product measurable space generated by the measurable rectangles. This paper develops relations between probability measures on $({H_1} \times {H_2},{\Gamma _1} …