多维平稳序列在线性系统和平稳扰动下的滤波问题(英文)

On Filtering Problem of Multiple Stationary Sequences with Stationary Disturbance for a Linear System

Let the n-pie stationary sequence ξ(t)=(ξ_1(t), …, ξ_n(t))' (t=0, ±1, …) be regular and of full rank, and then-ple the spectral density of stationary sequence N(t)=(N_1(t),…,N_n(t))' (t=0,±1, …) exist. And they are stationarily relative;