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1. Random signals
When observed signals are modelled by a function whose value can be calculated at any time, such signals are said to be deterministic. In many practical situations, the variability of signals is such that, over time, more and more parameters have to be introduced to enable the function to take this variability into account.
Example: let's assume that wind speed is observed using an anemometer over a given period of time. It is also assumed that the atmosphere is not very disturbed, and that the velocity is therefore subject to low-amplitude variations. Despite these assumptions, the results of these measurements can hardly be modelled by a function or even a linear or non-linear recurrent equation, even one with many coefficients. It may also be noted that observing the breeze for one hour, from t 1...
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Random signals
Signal processing
Bibliography
Websites
Greg Welch and Gary Bishop, The Kalman Filter, http://www.cs.unc.edu/%7Ewelch/kalman/.
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