The square of a Gaussian Markov process and nonlinear prediction

An explicit formula is obtained for the nonlinear predictor of Y(t) = X(t)2 - E(X(t)2), where X(t) is an N-ple Gaussian Markov process.

Year of publication:	1975
Authors:	Hida, T. ; Kallianpur, G.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 5.1975, 4, p. 451-461
Publisher:	Elsevier
Keywords:	Nonlinear prediction Gaussian Markov process Multiple Wiener integral

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

Persistent link: https://www.econbiz.de/10005153280