This video gives a very brief introduction to the powerful Markov
model for random processes. It considers in detail the first-order
Markov process, deriving the joint-probability density function for a
Gaussian-excited process. This powerful model allows certain problems to
be analysed in a comprehensive manner. The video mentions higher-order
Markov processes, as well as Markov Chains.
PGEE11164 Probability, Estimation Theory, and Random Signals Lectures -- School of Engineering, University of Edinburgh. Copyright James R. Hopgood and University of Edinburgh, Scotland, United Kingdom (UK). 2020.
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