Conditionally Gaussian sequences: filtering and related problems
The two previous chapters dealt with problems of filtering, interpolation and extrapolation for the conditionally Gaussian random processes (θ ξ), in continuous time t ≥ O. In the present chapter these problems will be investigated for random sequences with discrete time t = 0, Δ, 2Δ,. . ., having the property of “conditional Gaussianness” as well.
KeywordsConditional Distribution Normal Correlation Recursive Equation Gaussian Vector Gaussian Sequence
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Notes and references
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