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arXiv · 2504.18456

Filtering of second order generalized stochastic processes corrupted by additive noise

Patrik Wahlberg
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Abstract

We treat the optimal linear filtering problem for a sum of two second order uncorrelated generalized stochastic processes. This is an operator equation involving covariance operators. We study both the wide-sense stationary case and the non-stationary case. In the former case the equation simplifies into a convolution equation. The solution is the Radon--Nikodym derivative between non-negative tempered Radon measures, for signal and signal plus noise respectively, in the frequency domain. In the non-stationary case we work with pseudodifferential operators with symbols in Sj\"ostrand modulation spaces which admits the use of its spectral invariance properties.

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Patrik Wahlberg. 2025-04-25. Filtering of second order generalized stochastic processes corrupted by additive noise. https://arxiv.org/abs/2504.18456

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