Optimum Linear Estimation of Stochastic Signals in the Presence of Multiplicative Noise
- 1 May 1971
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Aerospace and Electronic Systems
- Vol. AES-7 (3) , 462-468
- https://doi.org/10.1109/taes.1971.310288
Abstract
This paper considers optimum (MMSE) linear recursive estimation of stochastic signals in the presence of multiplicative noise in addition to measurement noise. Often problems associated with phenomena such as fading or reflection of the transmitted signal at an ionospheric layer, and also situations involving sampling, gating, or amplitude modulation, can be cast into such formulation. The different kinds of estimation problems treated include one-stage prediction, filtering, and smoothing. Algorithms are presented for discrete time as well as for continuous time estimation.Keywords
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