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

DOI10.1007/BF01104056zbMATH Open0716.62097OpenAlexW2058969736MaRDI QIDQ753372FDOQ753372

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

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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)

Cites Work

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Cited In (3)

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

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