On the derivation of a suboptimal filter for signal estimation

A suboptimal filter to estimate a signal corrupted by a white noise, derived from the approximative Karhunen-Loeve expansion of the signal, is given. The convergence of the suboptimal filter is showed and a bound on the truncation error is found.

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Year of publication:	1996
Authors:	Ruiz-Molina, Juan Carlos ; Valderrama, Mariano J.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 28.1996, 3, p. 239-243
Publisher:	Elsevier
Keywords:	Causal filter Approximative Karhunen-Loeve expansion Suboptimal filter

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005137785