• DocumentCode
    927660
  • Title

    Gaussian random process conditioned on its past

  • Author

    Pauwels, H.J.

  • Author_Institution
    University of Ghent, Ghent, Belgium
  • Volume
    61
  • Issue
    7
  • fYear
    1973
  • fDate
    7/1/1973 12:00:00 AM
  • Firstpage
    1056
  • Lastpage
    1056
  • Abstract
    The statistical properties of the future of a Gaussian process when conditioned on its past are shown to be easily deduced from a minor extension of well-known formulas of optimum prediction theory. Inversely, a direct calculation of those properties leads to a derivation of the basic theorems of prediction theory.
  • Keywords
    Covariance matrix; Gaussian processes; Integral equations; Mean square error methods; Nonlinear filters; Prediction theory; Random processes; Statistics; Tellurium; Time factors;
  • fLanguage
    English
  • Journal_Title
    Proceedings of the IEEE
  • Publisher
    ieee
  • ISSN
    0018-9219
  • Type

    jour

  • DOI
    10.1109/PROC.1973.9207
  • Filename
    1451137
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=927660