Optimal Filtering

Optimal Filtering

Book: Optimal Signal Processing Under Uncertainty

Author(s): Edward R. Dougherty

Published: 2018

https://doi.org/10.1117/3.2317891.ch3

Abstract

A filter estimates (predicts) the value of an unobserved random variable based on the values of a set of observed random variables. In the context of random processes, we desire a filter that, given an input X(t), produces an output Yˆ ðsÞ that best estimates Y(s), where goodness is based on an error measure between Yˆ ðsÞ and Y(s).