Title :
Numerical estimation of the complex Wiener prediction filter
Author_Institution :
Weapons Research Establishment, Salisbury, South Australia
Abstract :
A complete algorithm is presented for numerical estimation of the complex prediction error filter from a finite number of data samples. The method is a generalization of Andersen´s results for real samples [3]. It is also demonstrated that, using Anderson´s method, a nonincreasing mean error as a function of filter size cannot be arbitrarily guaranteed.
Keywords :
Costs; Equations; Mean square error methods; Recursive estimation; State estimation; Wiener filter;
Journal_Title :
Proceedings of the IEEE
DOI :
10.1109/PROC.1977.10733
