Fast algorithms for Brownian matrices

DOI10.1109/TASSP.1983.1164078MaRDI QIDQ3678635zbMATH OpenOpenAlexFDO

Authors Bernard Picinbono

Publication date 1983

Published in IEEE Transactions on Acoustics, Speech, and Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tassp.1983.1164078

zbMATH Keywords

covariance matrixBrownian motionToeplitz matricesdigital signal processingBrownian matrixnonstationary signals

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Brownian motion (60J65)

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(5)

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