Ornstein-Uhlenbeck process
= Ornstein-Uhlenbeck process
{c}
{wiki=Ornstein–Uhlenbeck_process}
A stationary Ornstein-Uhlenbeck process is a Gaussian Markov process with exponential covariance $K(s,t)=A^2e^{-|t-s|/\tau}$.
= Ornstein-Uhlenbeck process
{c}
{wiki=Ornstein–Uhlenbeck_process}
A stationary Ornstein-Uhlenbeck process is a Gaussian Markov process with exponential covariance $K(s,t)=A^2e^{-|t-s|/\tau}$.