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Abstract

The original Wiener filtering problem concerns the problem of linear causal estimation of a wide sense stationary process. The process to be estimated is the wide sense stationary vector process {xk}. The observation data is a jointly distributed wide sense stationary process, usually modeled as the sum of the process yk and an independent zero mean white noise processv k

zk=yk+vk.

Keywords

Riccati Equation Fredholm Operator Convolution Kernel Algebraic Riccati Equation Convolution Equation 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 2002

Authors and Affiliations

  • Jon H. Davis
    • 1
  1. 1.Department of Mathematics and StatisticsQueen’s UniversityKingstonCanada

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