Gaussian Processes

Erscheinungsjahr 2007
ISBN: 978-0-8218-4358-1
Verlag: American Mathematical Society

Buch, Englisch, Band 120, 183 Seiten

Reihe: Translations of Mathematical Monographs

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.

Autoren/Hrsg.

Hida, Takeyuki

Hitsuda, Masuyuki

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
• Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
• Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
• Mathematik | Informatik Mathematik Stochastik Elementare Stochastik