Gaussian Processes, Moving Averages and Quick Detection Problems
Work
Year: 1973
Type: article
Abstract: In this paper, we are interested in moving averages of the type $\int^t_0 f(t - s) dX(s)$, where $X(t)$ is a Wiener process and $\int^\infty_0 f^2(t) dt < \infty$. By a suitable choice of the weightin... more
Source: The Annals of Probability
Author Tze Leung Lai
Cites:
Cited by: 22
Related to: 10
FWCI: 3.42
Citation percentile (by year/subfield): 88.93
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze