INFERENCE IN STOCHASTIC PROCESSES
Abstract
The investigation was designed to prepare a monograph on certain mathematical aspects of the inference theory of stochastic processes, the principal components of which are substantially completed. These include substantive treatments of the foundations of inference theory, i.e., the projective limits of probability spaces, of conditional probability distributions and expectations, which occupy a central position in the analysis of essentially all the problems of inference, some new or simplified proofs of the standard theory of martingales together with a demonstration of the equivalence of the martingale convergence and the Andersen-Jessen theory, of stochastic difference and differential equations in both the physical and social sciences, of Gaussian processes, and of hypothesis testing, parametric estimation, and prediction, as the latter three topics relate to inference theory.
Document Details
- Document Type
- Technical Report
- Publication Date
- Jul 01, 1970
- Accession Number
- AD0709223
Entities
People
- M. M. Rao
Organizations
- Carnegie Mellon University