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Browse Journals & Magazines > Information Theory, IEEE Tran ...> Volume:19 Issue:4 Help

On the approximation of optimal realizable linear filters using a Karhunen-Loeve expansion (Corresp.)

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2 Author(s)
Fortmann, T.E. ; Anderson, B.D.O.

The Karhunen-Loève expansion of a random process is used to derive the impulse response of the optimal realizable linear estimator for the process. The expansion is truncated to yield an approximate state-variable model of the process in terms of the firstNeigenvalues and eigenfunctions. The Kalman-Bucy filter for this model provides an approximate realizable linear estimator which approaches the optimal one asN rightarrow infty. A bound on the truncation error is obtained.

Published in:
Information Theory, IEEE Transactions on  (Volume:19 ,  Issue: 4 )

Date of Publication: Jul 1973

Page(s):
561 - 564
ISSN :
0018-9448
Digital Object Identifier :
10.1109/TIT.1973.1055039
Product Type:
Journals & Magazines
Date of Current Version :
06 January 2003
Issue Date :
Jul 1973
Sponsored by :
IEEE Information Theory Society

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