Lectures on Wiener and Kalman Filtering pp 1-143 | Cite as

# Lectures on Wiener and Kalman Filtering

Chapter

## Abstract

Suppose we have two random variables X, Y with a known joint density function f_{x,y}(.,.). Assume that in a particular experiment, the random variable Y can be measured and takes the value y. What can be said about the corresponding value, say x, of the unobservable variable X?

## Keywords

Covariance Function Riccati Equation Wiener Filter Optimum Filter Innovation Approach
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