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Discrete Stochastic Processes and Optimal Filtering by Roger Ceschi, Jean-Claude Bertein

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4.5. Multivariate processes

In certain practical problems, we may have to consider the state process images and the observation process images which are such that:

images

where ∀j and images and images.

We thus say that:

Xj and Yj are multivectors (vectors because the images and the images belong to the vector space L2; multi because Xj and Yj are sets of several vectors);

n is the order of the multivector Xj and m is the order of the multivectors Yj;

images and images;

images and are multivariate processes, until this point the processes considered ...

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