Conditionally gaussian distributions and an application to kalman filtering with stochastic regressors
Titel:
Conditionally gaussian distributions and an application to kalman filtering with stochastic regressors
Auteur:
Ruskeepa, Heikki
Verschenen in:
Communications in statistics
Paginering:
Jaargang 14 (1985) nr. 12 pagina's 2919-2942
Jaar:
1985
Inhoud:
The work reviews theory of conditionally Gaussian distributions, especially so called theorems on normal correlation. Three theorems are given: the basic, the recursive, and the conditional theorem on normal correlation. They assume that (a,y), (a,x,y), or (a,y,z) has a Gaussian distribution, ussert that (a,y), (a,x,y), and (a,y,z), respectively, are Gaussian, and give formulas for the corresponding conditional mean vectors and variance covariance matrices. A proof is presented for the recursive and the conditional theorem.
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