Operator approach to time series filtering problem

MaRDI QIDQ1901880zbMATH OpenFDO

Authors O. G. Gorshkov, Vladimir N. Fomin

Publication date 5 March 1996

Published in Vestnik St. Petersburg University. Mathematics (Search for Journal in Brave)

zbMATH Keywords

causal linear operators in Hilbert spaceoptimal filtering theorystationary processestime seriesWiener-Kolmogorov theory

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Filtering in stochastic control theory (93E11)

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• Method of operator colligations in the filtering problem for nonstationary stochastic sequences
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• On an inverse filtration problem in the harmonic analysis of finite time records
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