A mapping result between Wiener theory and Kalman filtering for nonstationary processes

DOI10.1109/TAC.1985.1103909zbMath0564.93065OpenAlexW2122965606MaRDI QIDQ3679086

Arye Nehorai, Martin Morf

Publication date: 1985

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.1985.1103909

zbMATH Keywords

Wiener theoryKalman filteringnonstationary processinnovation filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Linear systems in control theory (93C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Realizations from input-output data (93B15) Model systems in control theory (93C99)

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