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Signal Processing and Digital Filtering

Lectures on Discrete Time Filtering

Authors: Bucy, R.S.

Editors: Burrus, C.S. (Ed.)

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  • ISBN 978-1-4613-8392-5
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About this Textbook

The theory of linear discrete time filtering started with a paper by Kol­ mogorov in 1941. He addressed the problem for stationary random se­ quences and introduced the idea of the innovations process, which is a useful tool for the more general problems considered here. The reader may object and note that Gauss discovered least squares much earlier; however, I want to distinguish between the problem of parameter estimation, the Gauss problem, and that of Kolmogorov estimation of a process. This sep­ aration is of more than academic interest as the least squares problem leads to the normal equations, which are numerically ill conditioned, while the process estimation problem in the linear case with appropriate assumptions leads to uniformly asymptotically stable equations for the estimator and the gain. The conditions relate to controlability and observability and will be detailed in this volume. In the present volume, we present a series of lectures on linear and nonlinear sequential filtering theory. The theory is due to Kalman for the linear colored observation noise problem; in the case of white observation noise it is the analog of the continuous-time Kalman-Bucy theory. The discrete time filtering theory requires only modest mathematical tools in counterpoint to the continuous time theory and is aimed at a senior-level undergraduate course. The present book, organized by lectures, is actually based on a course that meets once a week for three hours, with each meeting constituting a lecture.

Table of contents (14 chapters)

Table of contents (14 chapters)

Buy this book

eBook 59,49 €
price for Korea, Republic of (South Korea) (gross)
  • ISBN 978-1-4613-8392-5
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover 69,99 €
price for Korea, Republic of (South Korea) (gross)
  • ISBN 978-1-4613-8394-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Lectures on Discrete Time Filtering
Authors
Editors
  • C.S. Burrus
Series Title
Signal Processing and Digital Filtering
Copyright
1994
Publisher
Springer-Verlag New York
Copyright Holder
Springer-Verlag New York, Inc.
eBook ISBN
978-1-4613-8392-5
DOI
10.1007/978-1-4613-8392-5
Softcover ISBN
978-1-4613-8394-9
Series ISSN
1431-7893
Edition Number
1
Number of Pages
XV, 156
Topics