The Statistics of First Order Differential and Difference Equations with Stochastic Inputs.
ARMY WEAPONS COMMAND ROCK ISLAND ILL FUTURE WEAPONS DIV
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The report develops expressions for the nonstationary mean and variance of the state variable of first order differential and difference equations. These are used to develop probability statements for the solution. Examples are provided. Two classes of forcing functions for the equations are considered -- one in which the noise component is white and the other for non-white noise. For the class of non-white noise, two types are investigated. The first type of non-white noise results from a finite moving average process with white noise input. The second type of non-white noise treated is the output of an autoregressive process with white noise input. Author
- Statistics and Probability