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Linear Theory of Random Processes

Chapter
Part of the Classics in Mathematics book series

Abstract

The existence of an important and sufficiently wide class of problems whose solution requires a knowledge of only the very general properties of a random function and its first and second moment is indeed remarkable and non-trivial. A substantial part of the theory of linear transformations of random functions is devoted to these problems and they constitute the main topic of the present chapter. We shall therefore discuss here random functions with values in a linear space with finite moments of second order unless otherwise explicitly stipulated.

Keywords

Correlation Function Spectral Density Random Process Spectral Function Linear Theory 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2004

Authors and Affiliations

  1. 1.Institute of Applied Mathematics and MechanicsAcademy of Sciences of the Ukrainian SSRDonetskUSSR
  2. 2.Institute of MathematicsAcademy of Sciences of the Ukrainian SSRKievUSSR

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