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

Covariance Convolution Lution Cross Correlation 

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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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