Optimal Filtering

This graduate-level text augments and extends beyond undergraduate studies of signal processing, particularly in regard to communication systems and digital fil... » 

This graduate-level text augments and extends beyond undergraduate studies of signal processing, particularly in regard to communication systems and digital filtering theory. Topics include filtering, linear systems, and estimation; the discrete-time Kalman filter; time-invariant filters; properties of Kalman filters; computational aspects; and smoothing of discrete-time signals. Additional subjects encompass applications in nonlinear filtering; innovations representations, spectral factorization, and Wiener and Levinson filtering; parameter identification and adaptive estimation; and colored noise and suboptimal reduced order filters. Four appendixes contain useful supplementary material. 1979 ed. «