Stochastic regularization of linear equations and the realization of Gaussian fields

The variational representation of the conditional expectation of a Gaussian signal X given observations Y corrupted by independent white noise is investigated in the general infinite-dimensional setting. Under Hilbert-Schmidt type assumptions it is shown that the filter can be realized on sample configurations Y[omega] as the extension by continuity of the mapping that gives the solution of a related variational problem.

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Year of publication:	1990
Authors:	Piccioni, Mauro ; Roma, Massimo
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 33.1990, 1, p. 143-150
Publisher:	Elsevier
Keywords:	regularization of ill-posed problems Gaussian fields Hilbert-Schmidt operators robust filtering

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005160524