Algorithm of Wiener filtering and extrapolation for nonstationary random processes observed with correlated errors (Q1974315)
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scientific article; zbMATH DE number 1439544
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| English | Algorithm of Wiener filtering and extrapolation for nonstationary random processes observed with correlated errors |
scientific article; zbMATH DE number 1439544 |
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Algorithm of Wiener filtering and extrapolation for nonstationary random processes observed with correlated errors (English)
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2 August 2000
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The paper considers the problem of linear filtering and prediction of a random process from noisy observations. The process need not be stationary or Markov while it is required that the noise has nonzero autocorrelation and cross-correlation with the process.
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linear filtering
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linear prediction
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correlated noise
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0.8713130950927734
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0.8294663429260254
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0.8267915844917297
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0.8195732235908508
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