In certain practical problems, we may have to consider the state process and the observation process which are such that:
where ∀j and and .
We thus say that:
– Xj and Yj are multivectors (vectors because the and the 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;
– and ;
– and are multivariate processes, until this point the processes considered ...