Alexander M. Gelfand, Solomon I. Khmelnik

Discrete filtration of Multivariate Correlated Nonstationary Processes

We consider a vector stochastic process with stationary increments of a predetermined order, whose components are linearly dependent, i.e. in the absence of noise vector process components are constrained by a system of linear equations (constraints). The interdependence of stochastic processes can be determined by a static or a dynamic model. The constraints can be maintained rigidly or with a specified error. We offer a method allowing in these conditions synthesis of an optimum filter structure. This method works in cases where no information about signal and noise static properties is available.