A prediction interval for a first order Gaussian Markov process
By: by Toke Jayachnadran and T.S. Murthy
Contributors: Murthy, T.S.; Naval Postgraduate School (U.S.)
Publisher: Naval Postgraduate School
Published: 1980
Place of publication: Monterey, California
Language: eng
Number of pages: 22
Subjects: Gaussian processes; Markov processes
Description: 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)
Notes: Title from cover.

"Prepared for: Chief of Naval Research"--Cover.

"April 1980"--Cover.

"NPS-53-80-002"--Cover.

DTIC Identifiers: PE61152N.

Author(s) key words: Prediction interval, Gaussian Markov process, autoregressive process, simple linear regression, normal distribution.

"Approved for public release; distribution unlimited"--Cover.

Technical report; 1980.

kmc/kmc 9/9/09.