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Filtering and Estimation of the Mean

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

Abstract

Let us consider a random process of the form
$$ \xi (t) = \theta (t) + \Delta (t), \,\,\,\,\,\,\,t \in T, $$
(1.1)
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).

Keywords

Hilbert Space Spectral Density Correlation Matrix Random Process Spectral Measure 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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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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