Prosés Gauss-Markov

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Prosés stokastik Gauss-Markov (dingaranan tina Carl Friedrich Gauss jeung Andrey Markov) nyaéta prosés stokastic processk nu luyu jeung sarat-sarat boh keur prosés Gaussian atawa prosés Markov.

Tiap prosés Gauss-Markov X(t) mibanda tilu pasipatan ieu:

  1. Mun h(t) mangrupa fungsi skalar lain-enol t, mangka Z(t) = h(t)X(t) kaasup prosés Gauss-Markov
  2. Mun f(t) is a non-decreasing scalar function of t, then Z(t) = X(f(t)) is also a Gauss-Markov process
  3. There exists a non-zero scalar function h(t) and a non-decreasing scalar function f(t) such that X(t) = h(t)W(f(t)), where W(t) is the standard Wiener process.

Pasipatan (3) ngandung harti yén sakabéh prosés Gauss-Markov bisa disintésis tina prosés Wiener baku (standard Wiener process, SWP).