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On the error matrix in optimal linear filtering of stationary processes

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1 Author(s)

The error covariance matrix corresponding to optimal linear causal filtering of second-order stationary processes in additive noise is considered. Formulas expressing this error matrix in terms of the optimal transfer function are established, and in the nonsingular case the optimal transfer function is expressed in terms of the spectral densities. These are straightforward generalizations of previously published scalar results, and the derivation is similarly based on Hardy space theory. Explicit bounds on the minimal error (i.e., the trace of the optimal error covariance matrix) are obtained for filtering in white noise. Furthermore, an explicit expression for the error covariance matrix is derived for the case of transmitting the same signal over several white-noise channels.

Published in:

Information Theory, IEEE Transactions on  (Volume:19 ,  Issue: 5 )

Date of Publication:

Sep 1973

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