General Mathematics

    

Discrete Filtration of Multivariate Correlated Nonstationary Processes

Authors: Alexander M. Gelfand, Solomon I. Khmelnik

We consider a vector stochastic process with stationary increments of a predetermined order, whose components are linearly dependent, i.e. in the absence of noise vector process components are constrained by a system of linear equations (constraints). The interdependence of stochastic processes can be determined by a static or a dynamic model. The constraints can be maintained rigidly or with a specified error. We offer a method allowing in these conditions synthesis of an optimum filter structure. This method works in cases where no information about signal and noise static properties is available.

Comments: 13 Pages.

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[v1] 2013-10-30 10:13:44

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