Stochastic regularization of linear equations and the realization of Gaussian fields

Mauro Piccioni and Massimo Roma

Journal of Multivariate Analysis, 1990, vol. 33, issue 1, 143-150

Abstract: The variational representation of the conditional expectation of a Gaussian signal X given observations Y corrupted by independent white noise is investigated in the general infinite-dimensional setting. Under Hilbert-Schmidt type assumptions it is shown that the filter can be realized on sample configurations Y[omega] as the extension by continuity of the mapping that gives the solution of a related variational problem.

Keywords: regularization; of; ill-posed; problems; Gaussian; fields; Hilbert-Schmidt; operators; robust; filtering (search for similar items in EconPapers)
Date: 1990
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