Mean and variance of the arc length of a Gaussian process on a finite interval†
作者:
RICHARD BARAKAT,
ELIZABETH BAUMANN,
期刊:
International Journal of Control
(Taylor Available online 1970)
卷期:
Volume 12,
issue 3
页码: 377-383
ISSN:0020-7179
年代: 1970
DOI:10.1080/00207177008931855
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
The first and second moments of the distribution function of the arc length of a Gaussian process on a finite interval are obtained in terms of the covariance function of the derivative process. A closed expression (in terms of a modified Bessel function) was obtained for the first moment; however, the second moment had to be evaluated numerically. Numerical calculations were carried out for three typical covariance functions.
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