Minimax filtration of linear transformations of stationary sequences |
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Authors: | M P Moklyachuk |
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Institution: | (1) Kiev University, USSR |
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Abstract: | We will consider the problem of determining a linear, mean-square optimal estimate of the transformation
of a stationary random sequence (k) with density f() from observations of the sequence (k) + n(k) withk0, where (k) is a stationary sequence not correlated with (k) with density g(). The least favorable spectral densities and minimax (robust) spectral characteristics of an optimal estimate A for different classes of densities are found.Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 43, No. 1, pp. 92–99, January, 1991. |
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