Classical Approach

  • R. S. Bucy
Part of the Signal Processing and Digital Filtering book series (SIGNAL PROCESS)


The following will illustrate the classical Wiener approach to a discrete filtering problem followed by the Riccati equation approach in a later chapter. The development here follows [29]; note that in all that follows, t takes on integer values, and t0 = - ∞:
$$ \begin{gathered} {{x}_{{n + 1}}} = \lambda {{x}_{n}} + {{u}_{n}},\quad \left| \lambda \right| < 1 \hfill \\ {{z}_{n}} = {{x}_{n}} + {{v}_{n}},\quad E{{v}_{i}}{{v}_{j}} = {{\delta }_{{ij}}}r. \hfill \\ \end{gathered} $$
$$ \begin{gathered} E\left\{ {z(t + \tau )z'(t)} \right\} = o(\tau ) = m{{\lambda }^{{|\tau |}}} + r \hfill \\ E\left\{ {x(t + \tau )z'(t)} \right\} = c(\tau ) = m{{\lambda }^{{|\tau |}}} \hfill \\ E\{ x(t + \tau )x'(t)\} = s(\tau ) = m{{\lambda }^{{|\tau |}}} \hfill \\ \end{gathered} $$


Classical Approach Riccati Equation Normed Linear Space Output Sequence Negative Index 
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Copyright information

© Springer-Verlag New York, Inc. 1994

Authors and Affiliations

  • R. S. Bucy
    • 1
  1. 1.Department of Aerospace EngineeringUniversity of Southern CaliforniaLos AngelesUSA

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