A01=American Mathematical Society
Author_American Mathematical Society
Category=PBT
Category=PBWL
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Product details
- ISBN 9780821843581
- Weight: 380g
- Publication Date: 30 Jul 2007
- Publisher: American Mathematical Society
- Publication City/Country: US
- Product Form: Paperback
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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.
