Name
Title | ||
|---|---|---|
On the approximation of optimal realizable linear filters using a Karhunen-Loeve expansion (Corresp.) |
Abstract | ||
|---|---|---|
The Karhunen-Loève expansion of a random process is used to derive the impulse response of the optimal realizable linear estimator for the process. The expansion is truncated to yield an approximate state-variable model of the process in terms of the firstNeigenvalues and eigenfunctions. The Kalman-Bucy filter for this model provides an approximate realizable linear estimator which approaches the optimal one asN rightarrow infty. A bound on the truncation error is obtained. |
Year | DOI | Venue |
|---|---|---|
1973 | 10.1109/TIT.1973.1055039 | IEEE Transactions on Information Theory |
Keywords | Field | DocType |
Estimation,Karhunen-Loeve series | Impulse response,Truncation error,Eigenfunction,Karhunen–Loève theorem,Linear filter,Mathematical analysis,Stochastic process,Eigenvalues and eigenvectors,Mathematics,Estimator | Journal |
Volume | Issue | ISSN |
19 | 4 | 0018-9448 |
Citations | PageRank | References |
5 | 0.62 | 0 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| T. Fortmann | 1 | 5 | 0.62 |
| B. D. O. Anderson | 2 | 244 | 59.51 |