Let $\{W(t), 0 \leqq t < \infty\}$ be the standard Wiener process. The computation schemes developed in the past are not computationally efficient for the absorption ...
CATALOG DESCRIPTION: discrete-time random process, second-order statistics, autoregressive and moving average processes, linear prediction, Wiener filter, stochastic gradient (Least Mean Square) ...
CATALOG DESCRIPTION: Advanced topics in random processes: point processes, Wiener processes; Markov processes, spectral representation, series expansion of random processes, linear filtering, Wiener ...