Iterative Schur Complement and Multistage Wiener Filtering

DOI10.1137/090752389zbMath1209.60026OpenAlexW2088484496MaRDI QIDQ3053145

Michael Tinston, Yariv Ephraim

Publication date: 4 November 2010

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/090752389

zbMATH Keywords

Schur complementWiener-Hopf equationWiener filtermultistage linear minimum mean square error estimatorreduced rank filter

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

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