Conditioning of Banach Space Valued Gaussian Random Variables: An Approximation Approach Based on Martingales

In this paper we investigate the conditional distributions of two Banach space valued, jointly Gaussian random variables. We show that these conditional distributions are again Gaussian and that their means and covariances are determined by a general finite dimensional approximation scheme based upon a martingale approach. In particular, it turns out that the covariance operators occurring in this scheme converge with respect to the nuclear norm and that the conditional probabilities converge weakly. Moreover, we discuss in detail, how our approximation scheme can be implemented in several classes of important Banach spaces such as RKHSs and $C(T)$. As an example, we then apply our general results to the case of Gaussian processes with continuous paths conditioned to partial but infinite observations of their paths. Here we show that conditioning on sufficiently rich, increasing sets of finitely many observations leads to consistent approximations, in the sense that both the mean and covariance functions converge uniformly. Moreover, we discuss how these results improve our understanding of the popular Gaussian processes for machine learning.