GENERAL ESTIMATION TECHNIQUE USING COVARIANCE INFORMATION IN STATIONARY CONTINUOUS STOCHASTIC-SYSTEMS

General estimation technique using covariance information is proposed for white Gaussian and white Gaussian plus coloured observation noises in linear stationary stochastic systems. Namely, autocovariance data of signal and coloured noise appear in a semi-degenerate kernel, which represents functional expression of the autocovariance data, in the current technique. Then the signal is estimated by directly using autocovariance data of signal and coloured noise. On the other hand, in the previous technique, the covariance information is expressed in the form of a semi-degenerate kernel, but its elements do not include any autocovariance data.