Nonlinear prediction of the degree n of a Gaussian N-ple Markov process (Q1091033): Difference between revisions
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Property / author: Zoran Ivković / rank | |||
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Property / reviewed by: Antoni Leon Dawidowicz / rank | |||
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Property / reviewed by: Antoni Leon Dawidowicz / rank | |||
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Property / cites work: Canonical representations of Gaussian processes and their applications / rank | |||
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Property / cites work: The square of a Gaussian Markov process and nonlinear prediction / rank | |||
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Latest revision as of 10:34, 18 June 2024
scientific article
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English | Nonlinear prediction of the degree n of a Gaussian N-ple Markov process |
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Nonlinear prediction of the degree n of a Gaussian N-ple Markov process (English)
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1986
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A theorem on a nonlinear predictor of the process \(Y_ n(t)=X^ n(t)-E X^ n(t)\) is proved, where X(t) is an N-1 times differentiable Gaussian Markov process satisfying the condition \(\hat X(t,s)=E(X(t)| {\mathcal F}_ s)=\sum^{N}_{j=1}a_ j(t,s)X^{(j-1)}(s)\).
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conditional expectation
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nonlinear predictor
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Gaussian Markov process
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