Telescoping Recursive Representations and Estimation of Gauss-Markov Random Fields

Divyanshu Vats, José M. F. Moura
We present telescoping recursive representations for both continuous and discrete indexed noncausal Gauss-Markov random fields. Our recursions start at the boundary (for example, a hypersurface in Rd , d ≥ 1) and telescope inwards. Under appropriate conditions, the recursions for the random field are differential/difference representations driven by white noise, for which we can use standard recursive estimation algorithms, such as the Kalman-Bucy filter and the Rauch-Tung-Striebel smoother.
doi:10.1184/r1/6469400.v1 fatcat:jalopk375bhdhkvjcngpnuzee4