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On Wiener filtering of certain locally stationary stochastic processes
Univ Turin, Dipartimento Matemat, I-10123 Turin, Italy.
Univ Newcastle, Sch Elect Engn & Comp Sci, Callaghan, NSW 2308, Australia.
2010 (English)In: Signal Processing, ISSN 0165-1684, E-ISSN 1872-7557, Vol. 90, no 3, p. 885-890Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
Elsevier, 2010. Vol. 90, no 3, p. 885-890
National Category
Signal Processing
Research subject
Physics, Waves and Signals
Identifiers
URN: urn:nbn:se:lnu:diva-27696DOI: 10.1016/j.sigpro.2009.09.013ISI: 000272433400015OAI: oai:DiVA.org:lnu-27696DiVA, id: diva2:638307
Available from: 2013-07-29 Created: 2013-07-29 Last updated: 2017-12-06Bibliographically approved

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Wahlberg, Patrik

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