Optimal Fourier-Hermite expansion for estimation

DOI10.1016/0304-4149(86)90101-8zbMath0613.60038OpenAlexW2013486981MaRDI QIDQ1819462

Sze-Kui Ng, James Ting-Ho Lo

Publication date: 1986

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(86)90101-8

zbMATH Keywords

Wiener integralsrecursive estimatorFourier-Hermite expansionsminimal variance estimate

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic integrals (60H05)

Cites Work

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• Derivatives of Wiener functionals and absolute continuity of induced measures
• Multiple Wiener integral
• Multiple Integral Expansions for Nonlinear Filtering
• The design of nonlinear filters and control systems. Part 1

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