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- W1990306520 abstract "The optimal linear estimation, for $tgeqq 0$, of a zero mean Gauss–Markov process $xi ( - t )$, with covariance $E[ xi ( - t )xi ( tau - t ) ] = exp ( - | tau | )$ based on knowing only its signum in the interval $0leqq t < infty $, leads to a Wiener–Hopf integral equation for the weight function. We obtain the solution of this integral equation by the known technique, and investigate its singularities. We discuss procedures for obtaining satisfactory numerical results, both for the mean-squared error of the optimal linear estimate and for the weight function, and we depict some of the results." @default.
- W1990306520 created "2016-06-24" @default.
- W1990306520 creator A5003768260 @default.
- W1990306520 date "1982-06-01" @default.
- W1990306520 modified "2023-09-26" @default.
- W1990306520 title "The Solution of an Integral Equation Related to an Optimal Linear Estimation Problem" @default.
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- W1990306520 doi "https://doi.org/10.1137/0142042" @default.
- W1990306520 hasPublicationYear "1982" @default.
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