On approximate recursive prediction of stationary stochastic processes

DOI10.1080/17442508608833386zbMath0604.60036OpenAlexW1978250996MaRDI QIDQ3740733

Andrea Gombani, Michele Pavon

Publication date: 1986

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508608833386

zbMATH Keywords

spectral densityHankel matricesdesigning a low-dimensional recursive filterperformance of the optimal filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stationary stochastic processes (60G10) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items

A general Hankel-norm approximation scheme for linear recursive filtering

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