Minimax filtration of linear transformations of stationary consequences
We will consider the problem of determining a linear, mean-square optimal estimate of the transformation $A\xi = \sum_{j=0}^{\infty}a(j)\xi(-j)$ of a stationary random sequence $\xi(k)$ with density $f (\lambda)$ from observations of the sequence $\xi(k)+\eta(k)$ with $k\leq 0$, where $\eta(k)$ is...
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| Date: | 1991 |
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| Main Authors: | , |
| Format: | Article |
| Language: | Russian |
| Published: |
Institute of Mathematics, NAS of Ukraine
1991
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| Online Access: | https://umj.imath.kiev.ua/index.php/umj/article/view/9310 |
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| Journal Title: | Ukrains’kyi Matematychnyi Zhurnal |
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