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A unified approach to linear estimation problems for nonstationary processes

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3 Author(s)
Fernandez-Alcala, R.M. ; Dept. of Stat. & Oper. Res., Univ. of Jaen, Spain ; Navarro-Moreno, J. ; Ruiz-Molina, J.C.

The linear least mean-square (LLMS) error estimation problem of a nonstationary signal corrupted by additive white noise is studied. The formulation of the problem is very general, in the sense that it deals with different estimation problems (smoothing, filtering, and prediction) involving correlation between the signal and the white noise and the possibility of estimating a linear operation (in quadratic mean) of the signal. The obtained solution is in the form of a suboptimum estimate and is derived by using the approximate series expansions for stochastic processes with the aim of solving the Wiener-Hopf equation in the general (nonstationary) case. The main characteristic of this new solution is that it can be computed efficiently using a recursive algorithm similar to the Kalman filter without requiring the signal to obey a state-space model.

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Information Theory, IEEE Transactions on  (Volume:51 ,  Issue: 10 )