Optimal Filtering
Subtitle: Volume I: Filtering of Stochastic Processes
By: by Vladimir Fomin
Series: Mathematics and Its Applications -- 457; Mathematics and Its Applications -- 457.
Publisher: Springer Netherlands; Imprint; Springer
Published: 1999
Place of publication: Dordrecht
Language: eng
Format: [electronic resource] :
Number of pages: 392
ISBN-13: 9789401153263
Description: This book considers methods of optimal signal processing. The generalised filtering theory presented includes both highly developed, now classical branches like the Wiener-Kolmogorov and Kalman-Bucy theories, as well as relatively new branches such as semidegenerate processes and minimax filtering. The unique two-level approach to filtering problems is applied depending on their complexity. Starting with the conventional notions of filtering theory, in terms of difference-differential models, the research proceeds to notions and constructions of functional analysis convenient for analysing linear filtering problems. Many novel results on filtering theory are also introduced. <br/> <em>Audience:</em> This volume will be of interest to experts in the design of signal processing and theorists in functional analysis, probability theory, and mathematical physics.