The Kalman-Bucy Filter as a True Time-Varying Wiener Filter
- 1 April 1971
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Systems, Man, and Cybernetics
- Vol. SMC-1 (2), 119-128
- https://doi.org/10.1109/tsmc.1971.4308268
Abstract
The notion is exploded that to build a Kalman-Bucy filter, one needs to know the whole structure of the signal generating process. It is shown that the filter is constructible knowing precisely those covariances required to construct a Wiener filter, and no more, and that the filter is independent of the particular models of the processes generating these covariances. Performance of the Kalman-Bucy filter does depend on the models, however. Results are also obtained for the smoothing problem.Keywords
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