Title :
A new initial-value method for on-line filtering and estimation (Corresp.)
Author :
Casti, John L. ; Kalaba, Robert ; Murthy, V.K.
fDate :
7/1/1972 12:00:00 AM
Abstract :
Utilizing the theory of invariant imbedding, a Cauchy system suitable for real-time calculation is presented for the solution of the basic Fredholm integral equation of linear least squares filtering theory when the signal process is stationary. Extensions are also mentioned for more general nonstationary processes.
Keywords :
Estimation; Filtering; Integral equations; Invariant imbedding; Estimation theory; Filtering theory; Gaussian noise; Integral equations; Least squares approximation; Nonlinear filters; Optical filters; Optical noise; Signal processing; Statistics;
Journal_Title :
Information Theory, IEEE Transactions on
DOI :
10.1109/TIT.1972.1054850
