Discretization-Restoration of Gaussian Processes under Random Appearance of Samples

摘要

A general algorithm of statistical description of the discretization-restoration procedure of Gaussian random processes when the moments of appearance of several or even all samples are described using probability densities is obtained. As a result a kind of averaged base function and the functions of average restoration error are determined. Examples of discretization-restoration of Markovian process for two types of probability densities of the samples time of appearance are given in which the restoration errors and the kinds of base functions are analyzed.