Gaussian Processes
Author:   T. Hida ,  Masuyuki Hitsuda
Publisher:   American Mathematical Society
Volume:   No. 120
ISBN:  

9780821843581


Pages:   183
Publication Date:   15 July 2007
Format:   Paperback
Availability:   In Print   Availability explained
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Gaussian Processes


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Overview

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.

Full Product Details

Author:   T. Hida ,  Masuyuki Hitsuda
Publisher:   American Mathematical Society
Imprint:   American Mathematical Society
Volume:   No. 120
Weight:   0.380kg
ISBN:  

9780821843581


ISBN 10:   0821843583
Pages:   183
Publication Date:   15 July 2007
Audience:   College/higher education ,  Professional and scholarly ,  Postgraduate, Research & Scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   In Print   Availability explained
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

Table of Contents

Foundations of probability theory and limit theorems Systems of Gaussian random variables Stationary Gaussian processes and their representations Canonical representation of Gaussian processes: General theory and multiplicity Multiple Markov Gaussian processes Equivalence of Gaussian processes Stochastic integrals and martingales.

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