Non-linear prediction of the degree n of a Gaussian N-ple Markov process

Z. A. Ivkovic

Journal of Multivariate Analysis, 1986, vol. 20, issue 2, 327-329

Abstract: An explicit formula is obtained for the nonlinear predicion of Y(t) = Xn(t), where X(t) is an N-ple Gaussian Markov process.

Keywords: conditional; expectation; Gaussian; Markov; process; prediction (search for similar items in EconPapers)
Date: 1986
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