On linear filtering under dependent wide-band noise

Two linear filtering problems with wide-band noise on either the signal or the observations are considered. The optimal filters in these problems are obtained as the Kalman-Bucy type. The case when both the signal and the observations are subjected to the effects of wide-band noise is the synthesis...

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Veröffentlicht in:	Stochastics 1988-04, Vol.23 (4), p.413-437
1. Verfasser:	Bashirov, A. E.
Format:	Artikel
Sprache:	eng
Schlagworte:	Exact sciences and technology Linear filtering Mathematics mild evolution operator Probability and statistics Probability theory and stochastic processes Sciences and techniques of general use Stochastic processes wide-band noise
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Beschreibung
Zusammenfassung:	Two linear filtering problems with wide-band noise on either the signal or the observations are considered. The optimal filters in these problems are obtained as the Kalman-Bucy type. The case when both the signal and the observations are subjected to the effects of wide-band noise is the synthesis of the above-mentioned cases. The other possible cases are discussed.
ISSN:	0090-9491 2472-7067
DOI:	10.1080/17442508808833502