Optimal Filtering (Dover Books on Engineering): Brian D. O. Anderson, John B. Moore

Description

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.

Review: Classics in Signal Processing
This book is already a classics in signal processing. If you are serious in optimal control, linear estimation or general signal processing, get this book to have a look, you might be benefited from it. I am glad to see Dover reprint this out of print classics at reasonable price.

Review: Excellent textbook in extended Kalman filtering
It is very useful to study the Bayesian optimal filtering.

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