WOLFRAM LANGUAGE FEATURED EXAMPLE

Covariance Function for Processes

The CovarianceFunction at times s and t is given by Expectation[(x[s]-μ[s])(x[t]-μ[s]),x], where is the process state and is the mean function.

    
A discrete-time and discrete-state random process:
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A discrete-time and continuous-state random process:
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A continuous-time and discrete-state random process:
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A continuous-time and continuous-state random process:
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