Smoothness properties of the conditional expectation in finitely additive white noise filtering
It is shown that for a wide class of signal processes and bounded g, the conditional expectation [pi](g, y) in the white noise filtering model is a C[infinity]-functional of the observations in the sense that [pi](g, y) and its Fréchet derivatives (which exist) are random variables on the quasicylindrical probability space on which the observation model is defined.
Year of publication: |
1988
|
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Authors: | Hucke, H. P. ; Kallianpur, G. ; Karandikar, R. L. |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 27.1988, 1, p. 261-269
|
Publisher: |
Elsevier |
Keywords: | C[infinity]-functional finitely additive white noise filtering |
Saved in:
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