Solution of a time-varying wiener filtering problem

Abstract

The problem is considered of optimally estimating a signal s(t) when measurements z(t) = s(l) + n(t) are available, n(t) denoting white noise. The covariances of s(t) and n(t) are known, thus distinguishing the problem formulation from that of Kalman and Bucy, where knowledge is assumed of a dynamical system generating s(t) when driven by white noise. Show more