Some Extensions of the Innovations Theorem*
- 1 April 1971
- journal article
- website
- Published by Institute of Electrical and Electronics Engineers (IEEE) in Bell System Technical Journal
- Vol. 50 (4) , 1487-1494
- https://doi.org/10.1002/j.1538-7305.1971.tb02563.x
Abstract
Consider an observed process that is the sum of a Wiener noise process and the integral of a not necessarily gaussian signal process. The innovations process is defined as the difference between the observed process and the integral of the causal min...Keywords
This publication has 4 references indexed in Scilit:
- The Structure of Radon-Nikodym Derivatives with Respect to Wiener and Related MeasuresThe Annals of Mathematical Statistics, 1971
- Likelihood ratios for Gaussian processesIEEE Transactions on Information Theory, 1970
- A general likelihood-ratio formula for random signals in Gaussian noiseIEEE Transactions on Information Theory, 1969
- On Square Integrable MartingalesNagoya Mathematical Journal, 1967