Solution of a time-varying Wiener filtering problem
- 1 December 1967
- journal article
- Published by Institution of Engineering and Technology (IET) in Electronics Letters
- Vol. 3 (12) , 562-563
- https://doi.org/10.1049/el:19670442
Abstract
The problem is considered of optimally estimating a signal s(t) when measurements z(t) = s(t) + n(t) are available, n(t) denoting white noise. The covariances of s(t) and n(t) are known, thus distinguishing the problem formulation from that of Kalman and Bucy, where knowledge is assumed of a dynamical system generating s(t) when driven by white noise.Keywords
This publication has 1 reference indexed in Scilit:
- Extrapolation, Interpolation, and Smoothing of Stationary Time SeriesPublished by MIT Press ,1949