New formulas concerning Laplace transforms of quadratic forms for general Gaussian sequences

DOI10.1155/S1048953302000266zbMath1022.60037OpenAlexW2038443638MaRDI QIDQ1394558

M. Viot, Alain Le Breton, Marina Kleptsyna

Publication date: 23 June 2003

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/s1048953302000266

zbMATH Keywords

Laplace transformquadratic formsmartingaleoptimal filteringfiltering errorGaussian sequences

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Gaussian processes (60G15) Martingales with continuous parameter (60G44)

Related Items (5)

Gärtner-Ellis condition for squared asymptotically stationary Gaussian processes ⋮ The Laplace transform of the integrated Volterra Wishart process ⋮ Exponential transform of quadratic functional and multiplicative ergodicity of a Gauss-Markov process ⋮ Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise ⋮ Exponential Growth of Bifurcating Processes with Ancestral Dependence

This page was built for publication: New formulas concerning Laplace transforms of quadratic forms for general Gaussian sequences