Gaussian Processes

ISBN-13: 9780821843581 / Angielski / Miękka / 2007 / 183 str.

Takeyuki Hida;Masuyuki Hitsuda

Opis

Aimed at students and researchers in mathematics, communications engineering, and economics, this book describes the probabilistic structure of a Gaussian process in terms of its canonical representation (or its innovation process). Multiple Markov properties of a Gaussian process and equivalence problems of Gaussian processes are clearly presented. The authors' approach is unique, involving causality in time evolution and information-theoretic aspects. Because the book is self-contained and only requires background in the fundamentals of probability theory and measure theory, it would be suitable as a textbook at the senior undergraduate or graduate level.