Generalized stationary processes: applications and examples

DOI10.1007/s11785-011-0143-4zbMath1226.93141OpenAlexW2006422712MaRDI QIDQ644426

Lev A. Sakhnovich

Publication date: 4 November 2011

Published in: Complex Analysis and Operator Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11785-011-0143-4

zbMATH Keywords

random matricesoptimal predictiontriangular factorizationmatched filterspower-low processwhite-noise-type process

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Toeplitz operators, Hankel operators, Wiener-Hopf operators (47B35) Kernel operators (47B34)

Cites Work

• Effective construction of a class of positive operators in Hilbert space, which do not admit triangular factorization
• Spectral theory of canonical differential systems. Method of operator identities
• Matched Filtering for Generalized Stationary Processes
• Integral equations with difference kernels on finite intervals
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