Estimating sample paths of Gauss-Markov processes from noisy data
从含噪观测估计高斯—马尔可夫过程的样本路径
I derive the pointwise conditional means and variances of an arbitrary Gauss-Markov process, given noisy observations of points on a sample path. These moments depend on the process's mean and covariance functions, and on the conditional moments of the sampled points. I study the Brownian motion and bridge as special cases.