KALMAN-BUCY FILTER AS A TRUE TIME- VARYING WIENER FILTER

Abstract

The notion is exploded that to build a Kalman-Bucy filter, one needs to know the whole strucutre of the signal generating process. It is shown that the filter is constructible knowing precisely those covariances required to construct a Wiener filter, and no more, and that the filter is independent of the particular models of the processes generating these covariances. Performance of the Kalman- Bucy filter does depend on the models, however. Results are also obtained for the smoothing problem. Show more