On Wiener filtering of certain locally stationary stochastic processes

Title: On Wiener filtering of certain locally stationary stochastic processes
Creator: Wahlberg, Patrik; Schreier, Peter J.
Relation: Signal Processing Vol. 90, Issue 3, p. 885-890
Publisher Link: http://dx.doi.org/10.1016/j.sigpro.2009.09.013
Publisher: Elsevier
Resource Type: journal article
Date: 2010
Description: We study linear minimum mean squared error filters for continuous-time second-order stochastic processes that are locally stationary in Silverman's sense. We show that the optimal filter is rarely locally stationary even when the covariance functions have Gaussian shape. Using Mehler's formula we derive series expansions of the filter kernel for locally stationary covariances that are determined by Gaussians.
Subject: locally stationary continuous-time stochastic processes; linear minimum mean squared error filtering
Identifier: http://hdl.handle.net/1959.13/930623
Identifier: uon:10882
Identifier: ISSN:0165-1684
Language: eng
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