On the solution of the linear estimation problem involving correlated signal and noise

Author

Fernández-Alcalá, Rosa María ; Navarro-Moreno, JesÙs ; Ruiz-Molina, Juan Carlos

Author_Institution

Dept. of Stat. & Operations Res., Univ. of Jaen, Spain

fYear

2002

fDate

2002

Firstpage

129

Abstract

An efficient solution is given to the problem of linear least-squares estimation of a continuous stochastic process corrupted by an additive white noise which is correlated with the signal. This solution is based on the approximate Karhunen-Loeve (KL) expansion and it can be derived through a recursive algorithm which is similar to a Kalman-Bucy filter.

Keywords

Fredholm integral equations; Karhunen-Loeve transforms; correlation theory; filtering theory; information theory; least squares approximations; recursive estimation; stochastic processes; white noise; Fredholm equation; Kalman-Bucy filter; Karhunen-Loeve expansion; Wiener-Hopf equation; additive white noise; continuous stochastic process; correlated signal; integral equation; least-mean-square error estimation; linear least-squares estimation; recursive algorithm; Additive white noise; Convergence; Error analysis; Integral equations; Nonlinear filters; Operations research; Signal processing; Signal processing algorithms; Statistics; Stochastic processes;

fLanguage

English

Publisher

ieee

Conference_Titel

Information Theory, 2002. Proceedings. 2002 IEEE International Symposium on

Print_ISBN

0-7803-7501-7

Type

conf

DOI

10.1109/ISIT.2002.1023401

Filename

1023401