Title :
Closed-form expressions for the Fredholm determinant for state-variable covariance functions
fDate :
3/1/1968 12:00:00 AM
Abstract :
A new closed-form expression for the Fredholm determiant is derived for covariance functions which can be obtained as the output of a linear system which has a state-variable representation and which is driven with white noise. This new expression has the advantage of being the solution to a linear differential equation evaluated at one point.
Keywords :
Closed-form solution; Detectors; Eigenvalues and eigenfunctions; Equations; Estimation error; Estimation theory; Linear systems; Matrices; Nonlinear filters; Random processes;
Journal_Title :
Proceedings of the IEEE
DOI :
10.1109/PROC.1968.6301
