Estimating sample paths of Gauss-Markov processes from noisy data
- Resource Type
- Working Paper
- Authors
- Davies, Benjamin
- Source
- Subject
- Mathematics - Statistics Theory
Economics - Econometrics
Mathematics - Probability
- Language
I derive the pointwise conditional means and variances of an arbitrary Gauss-Markov process, given noisy observations of points on a sample path. These moments depend on the process's mean and covariance functions, and on the conditional moments of the sampled points. I study the Brownian motion and bridge as special cases.