A Prediction Interval for a First Order Gaussian Markov Process.

Abstract

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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Document Details

Document Type
Technical Report
Publication Date
Apr 01, 1980
Accession Number
ADA084094

Entities

People

  • T. S. Murthy
  • Toke Jayachandran

Organizations

  • Naval Postgraduate School

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Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • California
  • Coefficients
  • Intervals
  • Markov Processes
  • Mathematics
  • Military Research
  • Normal Distribution
  • Observation
  • Operations Research
  • Probability
  • Random Variables
  • Stationary
  • Statistics
  • Stochastic Processes
  • Technical Information Centers

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  • Statistical inference.