A prediction interval for a first order Gaussian Markov process
by Toke Jayachandran
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Let x sub t (t = 1,2,..) be a stationary Gaussian Markov process of order one with E(x sub t) = mu and Cov(x sub t, x sub t + k) = rho to the k power. We derive a prediction interval for x sub 2n + 1 based on the preceding 2n observations x sub 1, x sub 2,...,x sub 2n. (Author)
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Gaussian processes, Markov processesShowing 1 featured edition. View all 1 editions?
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A prediction interval for a first order Gaussian Markov process
1980, Naval Postgraduate School
in English
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Edition Notes
Title from cover.
"Prepared for: Chief of Naval Research"--Cover.
"April 1980"--Cover.
"NPS-53-80-002"--Cover.
DTIC Identifiers: PE61152N.
Author(s) key words: Prediction interval, Gaussian Markov process, autoregressive process, simple linear regression, normal distribution.
"Approved for public release; distribution unlimited"--Cover.
Technical report; 1980.
kmc/kmc 9/9/09.
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