Multivariate Gaussian processes: Definitions, examples and applications

Gaussian processes occupy one of the leading places in modern statistics and probability theory due to their importance and a wealth of strong results. The common use of Gaussian processes is in connection with problems related to estimation, detection, and many statistical or machine learning models. In this paper, we propose a precise definition of multivariate Gaussian processes based on Gaussian measures on vector-valued function spaces, and provide an existence proof. In addition, several fundamental properties of multivariate Gaussian processes, such as stationarity and independence, are introduced. We further derive two special cases of multivariate Gaussian processes, including multivariate Gaussian white noise and multivariate Brownian motion, and present a brief introduction to multivariate Gaussian process regression as a useful statistical learning method for multi-output prediction problems.