Uncorrelated Jointly Gaussian Blocks are Independent
theoremProbabilitythm:gaussian-uncorrelated-independent-2026aLet and be natural numbers and let be a Gaussian random vector on a probability space such that, with the covariance of square-integrable random variables (defined and finite by Square-Integrability, Moments, and Covariance Matrix of a Gaussian Random Vector),
that is, every is uncorrelated with every . Then the -algebras and are independent.
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