Estimation of the Gauss-Markov process from observation of its sign

DOI10.1016/0304-4149(83)90003-0zbMath0511.62095OpenAlexW2065791572MaRDI QIDQ1838805

David Slepian

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)90003-0

zbMATH Keywords

optimal predictionoptimal estimationnonlinear estimatorbest linear estimatorergodic Gauss-Markov processminimal mean-squared errorobservation of sign

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (2)

Interpolation for partly hidden diffusion processes ⋮ Linear interpolation of stationary processes from the signs of their derivatives

Cites Work

• Solution of Certain Integral Equations with Difference Kernels
• The Solution of an Integral Equation Related to an Optimal Linear Estimation Problem
• On the First Passage Time Probability Problem
• Mathematical Analysis of Random Noise

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