Filtering problem for the non-stationary random processes with unknown correlation functions
Oleksandr Nakonechnyi, Petro Zinko, T. P. Zinko, Iu. M. Shevchuk · 2019
We study the problems of the linear mean-square filtration of non-stationary random processes with unknown correlation functions. We consider the filtering problem for the general basic model and the case of building the linear mean-square estimation with the special type of the estimation. We investigate case when unknown correlation functions belong to certain special sets too. We offered algorithms for building optimal linear mean-square estimation for these cases.