Innovation processes associated with stationary Gaussian processes with application to the problem of prediction

DOI10.1017/S0027763000021796zbMath0452.60049MaRDI QIDQ3899252

Yasunori Okabe

Publication date: 1978

Published in: Nagoya Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

matrix Riccati equationstationary Gaussian processesinnovation processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Stationary stochastic processes (60G10) Signal detection and filtering (aspects of stochastic processes) (60G35) Prediction theory (aspects of stochastic processes) (60G25)

Cites Work

• On the structure of splitting fields of stationary Gaussian processes with finite multiple Markovian property
• A Note on Least Squares Estimation by the Innovations Method

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