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Synopsis
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.
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- PublisherAmerican Mathematical Society
- Publication date1993
- ISBN 10 0821845683
- ISBN 13 9780821845684
- BindingHardcover
- LanguageEnglish
- Number of pages183
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Gaussian Processes
Published by
American Mathematical Society, 1993
ISBN 10: 0821845683
ISBN 13: 9780821845684
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Hardcover
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