A New Approach to Linear Filtering and Prediction Problems

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...