Filtering and Estimation of the Mean

  • I. A. Ibragimov
  • Y. A. Rozanov
Part of the Applications of Mathematics book series (SMAP, volume 9)


Let us consider a random process of the form
$$ \xi (t) = \theta (t) + \Delta (t), \,\,\,\,\,\,\,t \in T, $$
where θ (t), tT, is an unknown deterministic function from a given class Θ and Δ(t), tT, is a Gaussian stationary process with zero mean and correlation function B(t).


Hilbert Space Spectral Density Correlation Matrix Random Process Spectral Measure 
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Copyright information

© Springer-Verlag New York Inc. 1978

Authors and Affiliations

  • I. A. Ibragimov
    • 1
  • Y. A. Rozanov
    • 2
  1. 1.LomiLeningradUSSR
  2. 2.V.A. Steklov Mathematics InstituteMoscowUSSR

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