Appendix. Some properties of the R matrix
Optimum filtering

Article REF: R7228 V1

Appendix. Some properties of the R matrix
Optimum filtering

Author : Mohamed NAJIM

Publication date: March 10, 1998 | Lire en français

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5. Appendix. Some properties of the R matrix

Let's go back to the equation (see § 2.51): $\begin{matrix} ε = ε_{min} + {(\underline{H} - \underline{H} *)}^{T} R (\underline{H} - \underline{H} *) \\ = (ε_{min} + \end{matrix}$

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Appendix. Some properties of the R matrix

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References

(1) - WIENER (N.) - Extrapolation, interpolation and smoothing of stationary time series - . MIT Press, 1949. Cambridge, Ma.
(2) - LEE (Y.W.) - Statistical theory of communication - . J. Wiley, 1960.
(3)...

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