RIEMANN FUNCTION-APPROACH TO UNBIASED FILTERING AND PREDICTION

被引：1

作者：

ANH, VV

SPENCER, NM

机构：

[1] School of Mathematics, Queensland University of Technology, Brisbane, QLD, 4001

来源：

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 1995年 / 192卷 / 01期

关键词：

D O I：

10.1006/jmaa.1995.1162

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper studies the relationship between the covariance function of a time-dependent ARMA process and the Green's function of a second-order self-adjoint linear differential equation based on the concept of a Riemann function. The result is used to obtain a closed-form solution to the filtering and prediction of signals embedded in a time-dependent ARMA noise process. (C) 1995 Academic Press, Inc.

引用

页码：96 / 116

页数：21

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