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The signal-noise problem — a solution for the case that signal and noise are Gaussian and independent
Published online by Cambridge University Press: 14 July 2016
Abstract
A solution is obtained for the signal-noise problem X = M + Z in which M and Z are independent Gaussian processes. Conditions on the processes are given which insure that the best estimate under generalized square — error loss is the conditional mean of M given X = x. A sequence of approximators of the best estimate is also given.
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- Copyright © Applied Probability Trust 1975
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