The Wiener-Hopf equation is developed using only a knowledge of elementary calculus and the definition of ensemble average from statistics. Then using the Leibniz equation for differentiating an integral, the Kalman filter and its relation to orthogonal projection is presented.
A Simple Development of the Wiener-Hopf Equation and the Derived Kalman Filter
IEEE Transactions on Aerospace and Electronic Systems ; AES-5 , 6 ; 980-983
1969-11-01
876909 byte
Article (Journal)
Electronic Resource
English