Title :
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
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;
Conference_Titel :
Information Theory, 2002. Proceedings. 2002 IEEE International Symposium on
Print_ISBN :
0-7803-7501-7
DOI :
10.1109/ISIT.2002.1023401
