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Optimal linear filtering and lagging filtering of coloured noise†

 

作者: A. P. ROBERTS,  

 

期刊: International Journal of Control  （Taylor Available online 1968）
卷期: Volume 8, issue 4  

页码: 401-416

 

ISSN:0020-7179

 

年代: 1968

 

DOI:10.1080/00207176808905694

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

The Kalman filtering problem is reformulated for coloured noise. This allows solution of the corresponding lugging filtering problem. Different methods of solution are found by using statistical orthogonality and maximum likelihood, and the two methods are compared. All rosults nro givon in continuous-time.

 

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