Tracking of signal and its derivatives in Gaussian white noise
نویسندگان
چکیده
منابع مشابه
Tracking of signal and its derivatives in Gaussian white noise
For the observation model “signal + white Gaussian noise”, an on-line tracking algorithm for signal and its derivatives is proposed. The tracking algorithm applies to a class of signals with derivative up to the k-th order. The asymptotic optimality in the minimax sense, with respect to small intensity of noise, is established.
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1997
ISSN: 0304-4149
DOI: 10.1016/s0304-4149(97)00046-x