scientific article; zbMATH DE number 1064367

MaRDI QIDQ4355841zbMATH OpenFDO

Authors T. Kailath

Publication date 8 March 1998

zbMATH Keywords

Kalman filterpredictiontime seriesMarkov processBrownian motionmoment problemspectral factorizationWiener-Hopf equationsstochastic processmathematical engineeringWiener-filtering signals

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Prediction theory (aspects of stochastic processes) (60G25) Signal detection and filtering (aspects of stochastic processes) (60G35) Biographies, obituaries, personalia, bibliographies (01A70) Factorization theory (including Wiener-Hopf and spectral factorizations) of linear operators (47A68) Integral equations of the convolution type (Abel, Picard, Toeplitz and Wiener-Hopf type) (45E10)

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