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1、DiscreteStochasticProcessesandOptimalFilteringDiscreteStochasticProcessesandOptimalFilteringJean-ClaudeBerteinRogerCeschiFirstpublishedinFrancein2005byHermesScience/Lavoisierentitled“Processusstochastiquesdiscretsetfiltragesoptimaux”FirstpublishedinG
2、reatBritainandtheUnitedStatesin2007byISTELtdApartfromanyfairdealingforthepurposesofresearchorprivatestudy,orcriticismorreview,aspermittedundertheCopyright,DesignsandPatentsAct1988,thispublicationmayonlybereproduced,storedortransmitted,inanyformorbyan
3、ymeans,withthepriorpermissioninwritingofthepublishers,orinthecaseofreprographicreproductioninaccordancewiththetermsandlicensesissuedbytheCLA.Enquiriesconcerningreproductionoutsidethesetermsshouldbesenttothepublishersattheundermentionedaddress:ISTELtd
4、ISTEUSA6FitzroySquare4308PatriceRoadLondonW1T5DXNewportBeach,CA92663UKUSAwww.iste.co.uk©ISTELtd,2007©LAVOISIER,2005TherightsofJean-ClaudeBerteinandRogerCeschitobeidentifiedastheauthorsofthisworkhavebeenassertedbytheminaccordancewiththeCopyright,Desig
5、nsandPatentsAct1988.LibraryofCongressCataloging-in-PublicationDataBertein,Jean-Claude.[Processusstochastiquesdiscretsetfiltragesoptimaux.English]Discretestochasticprocessesandoptimalfiltering/Jean-ClaudeBertein,RogerCeschi.p.cm.Includesindex."Firstpu
6、blishedinFrancein2005byHermesScience/Lavoisierentitled"Processusstochastiquesdiscretsetfiltragesoptimaux"."ISBN978-1-905209-74-31.Signalprocessing--Mathematics.2.Digitalfilters(Mathematics)3.Stochasticprocesses.I.Ceschi,Roger.II.Title.TK5102.9.B46520
7、07621.382'2--dc222007009433BritishLibraryCataloguing-in-PublicationDataACIPrecordforthisbookisavailablefromtheBritishLibraryISBN13:978-1-905209-74-3PrintedandboundinGreatBritainbyAntonyRoweLtd,Chippenham,Wiltshire.ToourfamiliesWewishtothankMmeFlorenc
8、eFrançoisforhavingtypedthemanuscript,andM.StephenHazlewoodwhoassuredthetranslationofthebookTableofContentsPreface...........................................xiIntroduction........................................xiiiChapter1.RandomVectors..............
