Let the stationary Gaussian stochastic process ξ(t) with the correlation function
be observed at N equidistant discrete time instants ti, i = 1, 2,…, N in such a way that
Then, at the measurer input we have a set of samples xi = x(ti). Furthermore, we assume that the mathematical expectation of observed stochastic process is zero. Then, the conditional N-dimensional pdf of Gaussian stochastic process can be presented in the following form:
det ‖ℛij‖ is the determinant of matrix consisting of elements ...