Filtering of Second Order Generalized Stochastic Processes Corrupted by Additive Noise

Abstract We treat the optimal linear filtering problem for a sum of two second order uncorrelated generalized stochastic processes. This is an operator equation involving covariance operators. We study both the wide-sense stationary case and the non-stationary case. In the former case the equation simplifies into a convolution equation. The solution is the Radon–Nikodym derivative between non-negative tempered Radon measures, for signal and signal plus noise respectively, in the frequency domain. In the non-stationary case we work with pseudodifferential operators with symbols in Sjöstrand modulation spaces which admits the use of its spectral invariance properties.