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1、BRIAND.O.ANDERSONJOHNB.MOOREOptimalFilteringINFORMATIONANDSYSTEMSCIENCESSERIESiThomasKailathEditorPRENTICE-HALLINFORMATIONANDSYSTEMSCIENCESSERIESThomasKailath,EditorANDERSON&MOOREOptimalFilteringBERGERRateDistortionTheory:AMathematicalBasisforDataCompress
2、ionDIFRANCO&RmmRadarDetectionDOWNINGModulationSystemsandNoiseDuwxTheTheoryofAppliedProbabilityFRANKSSignalTheoryGLORIOSOEngineeringCyberneticsGOLOMB,ETAL.DigitalCommunicationswithSpaceApplicationsKAILATHLinearSystemTheoryLINDSEYSynchronizationSystemsinCom
3、municationandControlLINDSEY&SIMONTelecommunicationSystemsEngineeringMELSA&SAGEAnIntroductiontoProbabilityandStochasticProcessesPATRICKFundamentalsofPatternRecognitionRAEMERStatisticalC~mmunicationTheoryandApplicationsSTIFFLERTheoryofSynchronousCommunicati
4、onsVANDERZELNoise:Sources,Characterization,MeasurementOPTIMALFILW?IIVGBrianD.O.AndersonJohnB.MooreProfessorsofElectricalEngineeringUniversityofNewcastleNewSouthWales,AustraliaPRENTICE-HALL,INC.EnglewoodCliffs,NewJersey07632Llbra?yofCon8?essCafalo8fnginPub
5、licationDataANDERSON,BRIANDOoptimalfiltering.(Informationcndsystemsciemwseries)IncludesbibliographleYandindex.1.Sialprocessing.2Electricfilters.I.Moore,JohnBmratt,datejointauthor.33.Title.TKSI02.5.A53621.381S’3278-8938ISBN(+13-638122-7@1979byPrentice-Hall
6、,Inc.,EnglewoodCliffs,N.J.07632Allrightsreserved.Nopartofthisbookmaybereproducedinanyformorbyanymeanswithoutpermissioninwritingfromthepublisher.PrintedintheUnitedStatesofAmerica10987654321PRENTICE-HALLINTERNATIONAL,INC.,LondonPRENTICE-HALLOFAUSTRALIAPTY.L
7、IMITED,SydneyPRENTICE-HALLOFCANADA,LTD.,TorontoPRENTICE-HALLOFINDIAPRIVATELIMITED,NewDelhiPRENTICE-HALLOFJAPAN,INC.,TokyoPRENTICE-HALLOFSOUTHEAST&31APTE.LTD.,SingaporeWHITEHALLBOOKSLIMITED,Wellington,NewZealandPREFACE1INTRODUCTION1.1Filtering11.2Historyof
8、SignalFiltering21.3SubjectMatterofthisBook41.4OutlineoftheBook6References7FILTERING,LINEARSYSTEMS,2ANDESTIMATION2.1Systems,Noise,Filtering,Smoothing,andPrediction92.2TheGauss-MarkovDiscrete-timeModel122.3EstimationC
