Abstract
We consider a p-dimensional continuous time Gaussian process {X t } t≥0 whose vector mean depends linearly of a k-dimensional parameter. Prom the observation of a path of {X t}: 1. We analyze the sequential estimation of θ, if the correlation function is known; 2. We obtain a sequential test for the linear hypothesis that θ belongs to a linear subspace of R k.
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References
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© 1994 Springer Science+Business Media New York
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Ibarrola, P., Velez, R. (1994). Inference in Multidimensional Gaussian Processes. In: Ríos, S. (eds) Decision Theory and Decision Analysis: Trends and Challenges. Springer, Dordrecht. https://doi.org/10.1007/978-94-011-1372-4_11
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DOI: https://doi.org/10.1007/978-94-011-1372-4_11
Publisher Name: Springer, Dordrecht
Print ISBN: 978-94-010-4600-8
Online ISBN: 978-94-011-1372-4
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