Linear estimation of random processes
In the previous chapter the interrelation between properties in the “wide” and in the “narrow” sense frequently applied in probability theory was used in finding optimal linear estimates for stationary sequences with rational spectra. Thus it was enough for our purposes to consider the case of Gaussian sequences (Lemma 14.1) for the construction of the optimal mean square linear estimate. This technique will now be used in the problems of linear estimation of processes with continuous time. Here the consideration of the concept of a wide-sense Wiener process turns out to be useful.
KeywordsRandom Process Linear Estimate Wiener Process Nonlinear Estimate Fubini Theorem
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