Title :
A Simple Development of the Wiener-Hopf Equation and the Derived Kalman Filter
Author :
Martin, J. Campbell
Author_Institution :
Clemson University Clemson, S. C. 29631
Abstract :
The Wiener-Hopf equation is developed using only a knowledge of elementary calculus and the definition of ensemble average from statistics. Then using the Leibniz equation for differentiating an integral, the Kalman filter and its relation to orthogonal projection is presented.
Keywords :
Calculus; Control systems; Differential equations; Electric variables control; Filtering theory; Filters; Integral equations; Noise measurement; Statistics; Transfer functions;
Journal_Title :
Aerospace and Electronic Systems, IEEE Transactions on
DOI :
10.1109/TAES.1969.309975
