Monday, October 14, 2019

autocorrelation - How do we compute distrubtions of the value of a random process conditional on initial conditions?


Suppose I have a stationary process ϕ(t) with a known autocorrelation function


A(τ)ϕ(0)ϕ(τ)


and suppose I also know that ϕ(t) is Gaussian distributed.



If I have a particular realization of the process in which ϕ(0)=ϕ0, what is the conditional distribution of ϕ(t) for later times in that realization?




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