Spectral properties of processes derived from stationary Gaussian sequences
β Scribed by Julius Blum; Bennett Eisenberg
- Publisher
- Elsevier Science
- Year
- 1974
- Tongue
- English
- Weight
- 444 KB
- Volume
- 2
- Category
- Article
- ISSN
- 0304-4149
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## Abstract The infinite (in both directions) sequence of the distributions ΞΌ^(__k__)^ of the stochastic integrals \documentclass{article}\usepackage{amssymb}\begin{document}\pagestyle{empty}$\int \_0^{\infty -} c^{-N\_{t-}^{(k)}} dL\_t^{(k)}$\end{document} for integers __k__ is investigated. Here
We obtain expressionsfor the optimal linear estimator and the corresponding mean squared error for the interpolation of a stationary process from its sign and the signs of its derivatives. Numerical results are obtained for several Gaussian examples.