Linear minimax filtering of a stationary random process under the conditions of an a priori partial uncertainty relative to the spectral density (Q1820120)
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scientific article; zbMATH DE number 3993430
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| English | Linear minimax filtering of a stationary random process under the conditions of an a priori partial uncertainty relative to the spectral density |
scientific article; zbMATH DE number 3993430 |
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Linear minimax filtering of a stationary random process under the conditions of an a priori partial uncertainty relative to the spectral density (English)
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1986
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One considers the minimax formulation of the linear filtering problem of a stationary, in the broad sense, random process (useful signal), observed in an additive mixture with a noise of the type ''white noise''. Regarding the spectral density of the useful signal one only knows that it satisfies a given system of moment conditions and is concentrated on a given measurable subset of the frequency axis. The determination of the saddle point of the arising antagonistic game reduces to the solution of some system of relations. An illustrative example is given.
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minimax formulation
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linear filtering
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stationary, in the broad sense, random process
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spectral density
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0.8429890871047974
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