Unbiased Wiener filtering: Nonstationary processes
| Autor: | N. M. Spencer, V. V. Anh |
|---|---|
| Rok vydání: | 1991 |
| Předmět: |
Pure mathematics
Covariance matrix Principle of maximum entropy Wiener filter Extension (predicate logic) Covariance symbols.namesake Type equation Control and Systems Engineering Signal Processing symbols Filtering problem Calculus Arma process Computer Vision and Pattern Recognition Electrical and Electronic Engineering Software Mathematics |
| Zdroj: | Signal Processing. 25:51-68 |
| ISSN: | 0165-1684 |
| DOI: | 10.1016/0165-1684(91)90038-k |
| Popis: | This paper gives an analytic solution to the unbiased filtering problem of the system X(t) = S(t) + N(t), where {S(t)} has known second-order properties, {N(t)} is an ARMA process with time-dependent coefficients, and {X(t)} is observed for t = 0, 1, …, T, T finite. The approach is based on solving a Wiener-Hopf type equation using properties of one-sided Green's matrices of a corresponding system. The paper also gives a method for extending the covariance matrix of S(t) when this is known only up to time lag T. The covariance extension will have a maximum entropy property. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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