| 释义 |
Doob's TheoremA theorem proved by Doob (1942) which states that any random process which is both Gaussian and Markov has the following forms for its correlation function,spectral density, and probability densities:
where is the Mean, the Standard Deviation, and the relaxation time. References
Doob, J. L. ``Topics in the Theory of Markov Chains.'' Trans. Amer. Math. Soc. 52, 37-64, 1942. |