An explicit solution of the linear filtering problem for certain classes of nonrational spectral densities

DOI10.1007/BF01104056MaRDI QIDQ753372zbMATH OpenOpenAlexFDO

Authors E. P. Fadeeva

Publication date 1991

Published in Journal of Soviet Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01104056

zbMATH Keywords

least squares methodexplicit solutionlinear filteringfiltration problembest linear estimatorsirrational densitiesquasi-rational densitiesstationarily connected stationary random processes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35) Stationary stochastic processes (60G10)

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Cited in

(3)

• Some solvable classes of filtering problem with Ornstein-Uhlenbeck noise
• Linear filtering of a two-dimensional process with stationary components having quasirational joint spectral density
• On the application of explicit spatial filtering to the variables or fluxes of linear equations

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