Stochastic Processes in Estimation Theory

Adrian Segall

doi:10.1109/TIT.1976.1055559

Stochastic Processes in Estimation Theory

Adrian Segall

Massachusetts Institute of Technology

Research output: Contribution to journal › Article › peer-review

45 Scopus citations

Abstract

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 language	English
Pages (from-to)	275-286
Number of pages	12
Journal	IEEE Transactions on Information Theory
Volume	22
Issue number	3
DOIs	https://doi.org/10.1109/TIT.1976.1055559
State	Published - May 1976
Externally published	Yes

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Stochastic Processes in Estimation Theory

Abstract

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