Aimed at students and researchers in mathematics, communications engineering, and economics, this book describes the probabilistic structure of a Gaussian process in terms of its canonical representation (or its innovation process). Multiple Markov properties of a Gaussian process and equivalence problems of Gaussian processes are clearly presented. The authors' approach is unique, involving causality in time evolution and information-theoretic aspects. Because the book is self-contained and only requires background in the fundamentals of probability theory and measure theory, it would be suitable as a textbook at the senior undergraduate or graduate level.
- ISBN10 0821845683
- ISBN13 9780821845684
- Publish Date 15 July 1993
- Publish Status Active
- Publish Country US
- Imprint American Mathematical Society
- Format Hardcover
- Pages 183
- Language English