Probability density of a stochastic process at the output of a linear system |
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| Authors: | V. I. Esipenko |
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| Affiliation: | (1) Department of Mathematics, Missouri Southern State University, Joplin, MO 64801, USA;(2) Department of Mathematics, Wayne State University, Detroit, MI 48202, USA;(3) Department of Mathematics, The University of Georgia, Athens, GA 30602, USA;(4) Department of Systems Engineering, Research School of Information Sciences and Engineering, Australian National University, Canberra, ACT, 0200, Australia |
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| Abstract: | We propose and analyze a method of direct statistical analysis for linear first-order systems with deterministic parameters. We derive the one- and multi-dimensional (with arbitrary dimension n) probability density of a stochastic process at the output of a linear system. Radiophysical Research Institute, Nizhny Novgorod, Russia. Translated from Izvestiya Vysshikh Uchebnykh Zavedenii, Radiofizika, Vol. 42, No. 3, pp. 287–300, March 1999. |
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