Optimal filtration of a Gaussian signal under almost Gaussian noise

zbMATH Open0864.93090MaRDI QIDQ3364595FDOQ3364595

Authors: M. S. Pinsker, V. V. Prelov 

Publication date: 1995

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zbMATH Keywords

non-Gaussianmean square errornonlinear filtermean square riskentropy-regular

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited In (11)

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• Robust and efficient recovery of a signal passed through a filter and then contaminated by non-Gaussian noise
• Optimal filtering of square-integrable signals in Gaussian noise
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• Optimal filters which maximize the relation signal/noise in the stationary case
• Some solvable classes of filtering problem with Ornstein-Uhlenbeck noise
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• On the Selection of Optimum Savitzky-Golay Filters
• OptimalH? scaling for sensitivity optimization of detection filters
• Optimal Filtering of a Gaussian Signal in the Presence of Lévy Noise
• Optimal filtering of FIR prefiltered data

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