Optimal Filtering.PDF

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BRIAN D. O. ANDERSON
JOHN B. MOORE
Optimal
Filtering
INFORMATION
AND SYSTEM SCIENCES
SERIES
Thomas Kailath
Editor
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PRENTICE-HALL INFORMATION
AND SYSTEM SCIENCES
SERIES
Thomas Kailath, Editor
ANDERSON& MOORE
BERGER
Optimal Filtering
Rate Distortion Theory:
A Mathematical Basis for Data Compression
Radar Detection
Modulation Systems and Noise
The Theory of Applied Probability
Signal Theory
Engineering Cybernetics
Digital Communications with Space Applications
Linear System Theory
Synchronization Systems
in Communication and Control
Telecommunication Systems Engineering
An Introduction to Probability
and Stochastic Processes
Fundamentals of Pattern Recognition
Statistical C~mmunication Theory and Applications
Theory of Synchronous Communications
Noise: Sources, Characterization, Measurement
DI FRANCO& Rmm
DOWNING
Duwx
FRANKS
GLORIOSO
GOLOMB,ET AL.
KAILATH
LINDSEY
LINDSEY& SIMON
MELSA& SAGE
PATRICK
RAEMER
STIFFLER
VANDERZEL
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OPTIMAL
FILW?IIVG
Brian D. O. Anderson
John B. Moore
Professors of Electrical Engineering
University of Newcastle
New South Wales, Australia
PRENTICE-HALL, INC.
Englewood Cliffs, New Jersey 07632
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BRIAND O
optimalfiltering.
(Informationcnd systemsciemw series)
Includesbibliographle andindex.
1. Sial processing. 2 Electric filters.
I. Moore, John Bmratt, date joint author.
33. Title.
TKSI02.5.A53
621.381S’32
78-8938
ISBN (+13-638122-7
@ 1979 by Prentice-Hall, Inc., Englewood Cliffs, N.J. 07632
All rights reserved. No part of this book
may be reproduced in any form or
by any means without permission in writing
from the publisher.
Printed in the United States of America
10987654321
PRENTICE-HALL INTERNATIONAL, INC., London
PRENTICE-HALL OF AUSTRALIA PTY. LIMITED, Sydney
PRENTICE-HALL OF CANADA, LTD., Toronto
PRENTICE-HALL OF INDIA PRIVATE LIMITED, New Delhi
PRENTICE-HALL OF JAPAN, INC., Tokyo
PRENTICE-HALL OF SOUTHEAST &31A PTE. LTD., Singapore
WHITEHALL BOOKS LIMITED, Wellington, New Zealand
Llbra?y of Con8?essCafalo8fng in Publication Data
ANDERSON,
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PREFACE
1
INTRODUCTION
1.1 Filtering 1
1.2 History of Signal Filtering
2
1.3 Subject Matter ofthis Book
4
1.4 Outline of the Book
6
References
7
2
FILTERING, LINEAR SYSTEMS,
AND ESTIMATION
2.1 Systems, Noise, Filtering,
Smoothing, and Prediction 9
2.2 The Gauss -Markov Discrete-time Model
12
2.3 Estimation Criteria
23
References
34
v
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