Stochastic Systems

The relation between optimal filtering and extrapolation for a class of stochastic systems

I. D. Siluyanova

Moscow

Abstract: For one class of stochastic systems the relationship is found between conditionally optimal filtering estimates and extrapolation so as to compute the extrapolator coefficients by conventional methods of analyzing dynamic systems subjected to random signals.

UDC: 62-505, 621.391.272


Received: 11.03.1984

 English version: Automation and Remote Control, 1985, 46, 625–628

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