Linear optimal estimation on nonstationary stochastic processes and factorization of correlation operators

zbMath0669.93072MaRDI QIDQ1119235

O. A. Petrov, Vladimir N. Fomin

Publication date: 1988

Published in: Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

nonstationary stochastic processesfactorization of correlation operatorslinear optimal filter

Mathematics Subject Classification ID

Gaussian processes (60G15) Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05)

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Minimization of a functional over the set of causal operators of causal Hilbert space

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