An optimal filter of the second order

Authors:
A.P. Torokhti;P.G. Howlett
Affiliations:
Dept. of Appl. Math., Adelaide Univ., SA;-
Venue:
IEEE Transactions on Signal Processing
Year:
2001

Citing 0
Cited 4

Method of Hybrid Approximations for Modelling of Multidimensional Nonlinear Systems

Multidimensional Systems and Signal Processing
Method of recurrent best estimators of second degree for optimal filtering of random signals

Signal Processing
Constructing fixed rank optimal estimators with method of best recurrent approximations

Journal of Multivariate Analysis
Optimal multilinear estimation of a random vector under constraints of causality and limited memory

Computational Statistics & Data Analysis

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Abstract

We present a new technique allowing us to find an optimal filter in the class of so-called second-order filters. The new filter is generated by a best-approximation operator of the second degree and generalizes and improves an optimal linear filter associated with the concept of Wiener filtering. This article provides a strict justification of the technique proposed, demonstrates its advantages, and describes numerous useful extensions and applications