This paper is concerned with the adaptive prediction for stochastic processes with abruptly changing parameters modelled as a finite-state Markov chain. The Markov transition matrix is assumed to be known. For the coloured noise disturbance case, it is shown that the optimal prediction algorithm req
β¦ LIBER β¦
Filtrations for the two parameter jump process
β Scribed by Ata Al-Hussaini; Robert J. Elliott
- Publisher
- Elsevier Science
- Year
- 1985
- Tongue
- English
- Weight
- 836 KB
- Volume
- 16
- Category
- Article
- ISSN
- 0047-259X
No coin nor oath required. For personal study only.
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