A physical basis for Krein's prediction formula

DOI10.1016/0304-4149(83)90052-2zbMath0507.60031OpenAlexW1964388277MaRDI QIDQ1837467

Brian D. O. Anderson

Publication date: 1983

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(83)90052-2

zbMATH Keywords

predictionstationary processesKrein's prediction formulaphysical interpretation of a solutionrandom process modellingSturm- Liouville problems

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (1)

Covariance factorisation and abstract representation of generalised random fields

Cites Work

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• Theory of partial differential equations
• On the determination of a differential equation from its spectral function
• Linear Prediction of Speech
• A view of three decades of linear filtering theory
• Stability analysis of a transmission line with variable parameters

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