On minimax filtration of vector processes

• Datum: 1993
• Hauptverfasser: Moklyachuk, M. P., Моклячук, М. П.
• Format: Artikel
• Sprache: Russisch; Englisch
• Veröffentlicht: Institute of Mathematics, NAS of Ukraine 1993
• Online Zugang: https://umj.imath.kiev.ua/index.php/umj/article/view/5821
• Назва журналу: Ukrains’kyi Matematychnyi Zhurnal

We study the problem of optimal linear estimation of the transformation $A\xi = \smallint _0^\infty< a(t), \xi ( - t) > dt$ of a stationary random process $ξ(t)$ with values in a Hilbert space by observations of the process $ξ(t) + η(t)$ for $t ⩽ 0$. We obtain relations for computin...