National Statistics Institute

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Multivariate Wiener-Kolmogorov Filtering by Polynomial Methods

Doc: 05/2011

The exact computation of a general multivariate Wiener-Kolmogorov filter is usually done in state-space form. This paper develops a new method to solve the problem within the polynomial framework. To do so, several matrix polynomial techniques are used. To obtain the initial values, some new techniques are also developed. Finally, some extensions and applications are outlined.

Palabras clave / Key words: Wiener-Kolgomorov filter, polynomial matrices

Multivariate Wiener-Kolmogorov Filtering by Polynomial Methods (Pdf 347 KB)
Félix Aparicio-Pérez

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