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Optimal Filtering
by Brian D. O. Anderson,John B. Moore

ISBN: 0486439380
Dover Publications Price: $24.95
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This graduate-level text augments and extends studies of signal processing, particularly in regard to communication systems and digital filtering theory. Topics include filtering, linear systems, and estimation; the discrete-time Kalman filter; time-invariant filters; properties of Kalman filters; computational aspects; smoothing of discrete-time signals; and more. 24 figures. 1979 edition.
Unabridged republication of the edition published by Prentice-Hall, Inc., Englewood Cliffs, New Jersey, 1979.

Table of Contents for Optimal Filtering
Preface
1. Introduction
2. Filtering, Linear Systems, and Estimation
3. The Discrete-time Kalman Filter
4. Time-Invariant Filters
5. Kalman Filter Properties
6. Computational Aspects
7. Smoothing of Discrete-Time Signals
8. Applications in Nonlinear Filtering
9. Innovations Representations, Spectral Factorization, Wiener and Levinson Filtering
10. Parameter Identification and Adaptive Estimation
11. Colored Noise and Suboptimal Reduced Order Filters
Appendixes
Author and Subject Indexes

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