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Avtomatika i Telemekhanika, 2007, Issue 3, Pages 83–93
(Mi at954)
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Stochastic Systems
Orthogonal expansions of the nonlinear functionals of the Gaussian process and their application to statistical analysis
M. E. Shaikin Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, Moscow, Russia
Abstract:
Orthogonal expansion of the space of quadratically integrable nonlinear functionals of the Gaussian random process was considered. The problem of explicit construction of the expansion terms was restated as generation of the differential equations for its coordinate functions. The method of canonical expansions from the linear statistical analysis was generalized to the nonlinear case on the basis of the results obtained.
Citation:
M. E. Shaikin, “Orthogonal expansions of the nonlinear functionals of the Gaussian process and their application to statistical analysis”, Avtomat. i Telemekh., 2007, no. 3, 83–93; Autom. Remote Control, 68:3 (2007), 446–455
Linking options:
https://www.mathnet.ru/eng/at954 https://www.mathnet.ru/eng/at/y2007/i3/p83
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Statistics & downloads: |
Abstract page: | 144 | Full-text PDF : | 47 | References: | 39 | First page: | 1 |
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