Stochastic Processes in Estimation Theory

Adrian Segall

Research output: Contribution to journalArticlepeer-review

45 Scopus citations


We describe the role of various stochastic processes, especially martingales and related concepts, in estimation theory. It is shown, in the simplest context, that in nonlinear estimation theory martingales play the same fundamental role as uncorrelation and white noise do in linear estimation.

Original languageEnglish
Pages (from-to)275-286
Number of pages12
JournalIEEE Transactions on Information Theory
Issue number3
StatePublished - May 1976
Externally publishedYes


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