Prediction on widely factorizable signals

Abstract This article extends the solutions to the prediction problem for factorizable real random signals to the class of improper complex-valued random signals. For that, the concept of widely factorizable signals is introduced and several real examples of signals having a widely factorizable corr...
Ausführliche Beschreibung

Abstract This article extends the solutions to the prediction problem for factorizable real random signals to the class of improper complex-valued random signals. For that, the concept of widely factorizable signals is introduced and several real examples of signals having a widely factorizable correlation function are presented. A widely linear processing is considered in the design of both linear and nonlinear prediction algorithms which are computationally feasible from the practical standpoint. These algorithms are valid for stationary as well as nonstationary signals and they can be applied from only the knowledge of the second-order properties of the augmented vectors involved, it not being necessary to know if the signal satisfies a state-space model. Ausführliche Beschreibung