A nonhomogeneous Markov process for the estimation of Gaussian random fields with nonlinear observations
type: Item
instance of: scholarly article
title: A nonhomogeneous Markov process for the estimation of Gaussian random fields with nonlinear observations
zbMATH Open document ID: 0739.60040
published in: The Annals of Probability
publication date: 1992-06-27T00:00:00Z
review text: The authors consider the following estimation problem: the signal is modelled by an \(n\)-dimensional continuous Gaussian field on a bounded and smooth domain in \(R^ d\), whose covariance is the Green's tensor of some uniformly elliptic differential system. This signal is observed through a finite set of bounded and smooth nonlinear sensors corrupted by noise. As usual, it is necessary to compute the conditional field, but the main difficulty is that its distribution is not Gaussian. To overcome this difficulty the authors propose the following way: they work with an increasing sequence of finite-dimensional subspaces of the space of continuous functions, on each of which a Galerkin approximation to the conditional field is considered. Then they construct a special nonhomogeneous Markov process which passes through this sequence of subspaces in time. This Markov process converges in distribution to the conditional field and the empirical averages of any bounded measurable function, continuous a.s., converge in \(L_ 2\) to the conditional expectation of the function.
Mathematics Subject Classification ID: 60G60
Mathematics Subject Classification ID: 60H15
Mathematics Subject Classification ID: 60J25
zbMATH DE Number: 26036
zbMATH Keywords: Gaussian field
zbMATH Keywords: Galerkin approximation
zbMATH Keywords: Markov process
zbMATH Keywords: empirical averages
author: Yali Amit
author: Mauro Piccioni
reviewed by: Yuliya S. Mishura
MaRDI profile type: MaRDI publication profile
full work available at URL: https://doi.org/10.1214/aop/1176990228
OpenAlex ID: W2084792741
DOI: 10.1214/AOP/1176990228
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description: scientific article; zbMATH DE number 26036