The square of a Gaussian Markov process and nonlinear prediction

T. Hida and G. Kallianpur

Journal of Multivariate Analysis, 1975, vol. 5, issue 4, 451-461

Abstract: An explicit formula is obtained for the nonlinear predictor of Y(t) = X(t)2 - E(X(t)2), where X(t) is an N-ple Gaussian Markov process.

Keywords: Nonlinear; prediction; Gaussian; Markov; process; Multiple; Wiener; integral (search for similar items in EconPapers)
Date: 1975
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