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Recursive limited memory filtering and scattering theory (Corresp.)

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2 Author(s)

Redheffer scattering theory is reviewed in a generalized setting as a method to derive recursive solutions of linear two-point boundary value problems (TPBVP) over arbitrarily varying intervals. The results can be used to derive a complete solution for the problem of limited-memory (or sliding-window) estimation, when a usual state-space model for the signal is available. Recursive limited-memory filters are derived for both continuous and discrete time signals.

Published in:

Information Theory, IEEE Transactions on  (Volume:31 ,  Issue: 3 )

Date of Publication:

May 1985

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