Prediction and filtering for random parameter systems

This work generalizes the Wiener-Kolmogorov theory of optimum linear filtering and prediction of stationary random inputs. It is assumed here that signal and noise have passed through a random device before being available for filtering and prediction. A random device is a unit whose behavior depends on an unknown parameter for which an a priori probability distribution is given. A number of engineering applications are cited. Two of these are worked out in some detail to illustrate the optimization procedure.