Prediction of a noise-distorted, multivariate, non-stationary signal
- 1 August 1967
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 4 (2) , 330-342
- https://doi.org/10.2307/3212027
Abstract
This paper deals with the problem of predicting or extracting a certain type of non-stationary sequence or signal from another sequence composed of the signal and a stationary noise. The noise is assumed to be uncorrelated with the signal. Although all sequences in the body of this paper are multivariate, for purposes of discussion, this introduction will deal with only the univariate case.Keywords
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