Chapter 3. Random Processes and Stochastic Systems

  1. Mohinder S. Grewal1,
  2. Angus P. Andrews2

Published Online: 29 JAN 2008

DOI: 10.1002/9780470377819.ch3

Book Title

Kalman Filtering: Theory and Practice Using MATLAB®, Third Edition

Kalman Filtering: Theory and Practice Using MATLAB®, Third Edition

Additional Information

How to Cite

Grewal, M. S. and Andrews, A. P. (2008) Random Processes and Stochastic Systems, in Kalman Filtering: Theory and Practice Using MATLAB®, Third Edition, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9780470377819.ch3

Author Information

  1. 1

    California State University at Fullerton, USA

  2. 2

    Rockwell Science Center, USA

Publication History

  1. Published Online: 29 JAN 2008
  2. Published Print: 25 AUG 2008

ISBN Information

Print ISBN: 9780470173664

Online ISBN: 9780470377819

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Keywords:

  • random processes (RPs) and stochastic systems;
  • linear RP models;
  • orthogonality principle

Summary

This chapter contains sections titled:

  • Chapter Focus

  • Probability and Random Variables (RVs)

  • Statistical Properties of RVs

  • Statistical Properties of Random Processes (RPs)

  • Linear RP Models

  • Shaping Filters and State Augmentation

  • Mean and Covariance Propagation

  • Relationships Between Model Parameters

  • Orthogonality Principle

  • Summary

  • Problems

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