The Solution of an Integral Equation Related to an Optimal Linear Estimation Problem

DOI10.1137/0142042zbMath0495.45009OpenAlexW1990306520MaRDI QIDQ3958928

John A. Morrison

Publication date: 1982

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0142042

zbMATH Keywords

Wiener-Hopf equationGauss-Markov processoptimal linear estimationsolution singularities

Mathematics Subject Classification ID

Gaussian processes (60G15) Markov processes: estimation; hidden Markov models (62M05) Integral equations of the convolution type (Abel, Picard, Toeplitz and Wiener-Hopf type) (45E10) Integral equations with miscellaneous special kernels (45H05)

Related Items (2)

Estimation of the Gauss-Markov process from observation of its sign ⋮ On Morrison's definite integral

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