Suppose we have an AR model like:
$\dot{h}(t)=ah(t)+w(t)$
where $a<0$, $w(t)\sim \mathcal{CN}(0,1)$. My question is how to evaluate the following conditional expectation:
$\mathbb{E}\big[h(t) \big| \{h(s):0\leq s<t\}\big]$.
Thanks.
Suppose we have an AR model like:
$\dot{h}(t)=ah(t)+w(t)$
where $a<0$, $w(t)\sim \mathcal{CN}(0,1)$. My question is how to evaluate the following conditional expectation:
$\mathbb{E}\big[h(t) \big| \{h(s):0\leq s<t\}\big]$.
Thanks.
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