Original paper
A New Approach to Linear Filtering and Prediction Problems
Abstract
The classical filtering and prediction problem is re-examined using the Bode-Shannon representation of random processes and the “state-transition” method of analysis of dynamic systems. New results are: (1) The formulation and methods of solution of the problem apply without modification to stationary and nonstationary statistics and to growing-memory and infinite-memory filters. (2) A nonlinear difference (or differential) equation is derived...
Paper Details
Title
A New Approach to Linear Filtering and Prediction Problems
Published Date
Mar 1, 1960
Journal
Volume
82
Issue
1
Pages
35 - 45
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Notes
History