On Wiener filtering of certain locally stationary stochastic processes
P. Wahlberg, P.J. Schreier, Signal Process. 90 (2010) 885–890.
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Journal Article
Author
Wahlberg, Patrik;
Schreier, Peter J.
Department
Abstract
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.
Publishing Year
Journal Title
Signal Process.
Volume
90
Issue
3
Page
885–890
LibreCat-ID
Cite this
Wahlberg P, Schreier PJ. On Wiener filtering of certain locally stationary stochastic processes. Signal Process. 2010;90(3):885–890. doi:10.1016/j.sigpro.2009.09.013
Wahlberg, P., & Schreier, P. J. (2010). On Wiener filtering of certain locally stationary stochastic processes. Signal Process., 90(3), 885–890. https://doi.org/10.1016/j.sigpro.2009.09.013
@article{Wahlberg_Schreier_2010, title={On Wiener filtering of certain locally stationary stochastic processes}, volume={90}, DOI={10.1016/j.sigpro.2009.09.013}, number={3}, journal={Signal Process.}, author={Wahlberg, Patrik and Schreier, Peter J.}, year={2010}, pages={885–890} }
Wahlberg, Patrik, and Peter J. Schreier. “On Wiener Filtering of Certain Locally Stationary Stochastic Processes.” Signal Process. 90, no. 3 (2010): 885–890. https://doi.org/10.1016/j.sigpro.2009.09.013.
P. Wahlberg and P. J. Schreier, “On Wiener filtering of certain locally stationary stochastic processes,” Signal Process., vol. 90, no. 3, pp. 885–890, 2010, doi: 10.1016/j.sigpro.2009.09.013.
Wahlberg, Patrik, and Peter J. Schreier. “On Wiener Filtering of Certain Locally Stationary Stochastic Processes.” Signal Process., vol. 90, no. 3, 2010, pp. 885–890, doi:10.1016/j.sigpro.2009.09.013.
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