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A Simple Development of the Wiener-Hopf Equation and the Derived Kalman Filter |
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| Authors: | Martin JC |
| Institution: | Clemson University Clemson, S. C. 29631; |
| Abstract: | The Wiener-Hopf equation is developed using only a knowledge of elementary calculus and the definition of ensemble average from statistics. Then using the Leibniz equation for differentiating an integral, the Kalman filter and its relation to orthogonal projection is presented. |
| Keywords: | |