Anderson B.D.O., Moore J.B. Optimal Filtering

Prentice Hall, 1979. — 357 p. — (Information and Systems Sciences Series). — ISBN 0-13-638122-7.This graduate-level text augments and extends studies of signal processing, particularly in regard to communication systems and digital filtering theory. Topics include filtering, linear systems, and estimation; the discrete-time Kalman filter; time-invariant filters; properties of Kalman filters; computational aspects; smoothing of discrete-time signals; and more.Filtering, Linear Systems, and Estimation.
The Discrete-Time Kalman Filter.
Time-Invariant Filters.
Kalman Filter Properties.
Computational Aspects.
Smoothing of Discrete-Time Signals.
Applications in Nonlinear Filtering.
Innovations Representations, Spectral Factorization, Wiener and Levinson Filtering.
Parameter Identification and Adaptive Estimation.
Colored Noise and Suboptimal Reduced Order Filters.
Appendixes.