Optimal filtering of a Gaussian signal against a background of almost Gaussian noise

zbMath0895.93038MaRDI QIDQ1814656

M. S. Pinsker, V. V. Prelov

Publication date: 15 December 1996

Published in: Problems of Information Transmission (Search for Journal in Brave)

zbMATH Keywords

mean square error; nonlinear filter; non-Gaussian; mean square risk; entropy-regular

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

94A12: Signal theory (characterization, reconstruction, filtering, etc.)