Filtrage optimal

Kalman filter
Filtrage optimal

Author : Mohamed NAJIM

Publication date: March 10, 1998 | Lire en français

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3. Kalman filter

The most general form of the Wiener-Hopf equation can be written as : $\int_{t_{0}}^{t} h (t, τ) k_{m m} (τ, σ) d τ = k_{ms} (t, σ)$

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Kalman filter

(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) - VAN TREES (H.L.) - Detection, estimation and modulation...

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