Algorithm of Wiener filtering and extrapolation for nonstationary random processes observed with correlated errors

DOI10.1007/BF02733429zbMath0942.93041MaRDI QIDQ1974315

V. D. Kudritskij

Publication date: 2 August 2000

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

zbMATH Keywords

correlated noiselinear filteringlinear prediction

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

Cites Work

• Unnamed Item
• Optimal linear extrapolation algorithm for realization of a vector random sequence observed without errors
• Optimal linear extrapolation of realizations of a stochastic process with error filtering in correlated measurements
• Necessary and sufficient conditions for contiguity and entire asymptotic separation of probability measures

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