Wiener-Kolmogorv estimators

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Wiener-Kolmogorov estimators

The estimator of the signal is obtained as

$\hat{s}_t = k_s \frac{\Psi_s(B)\Psi_s(F)}{\Psi(B)\Psi(F)}y_t=\nu(B, F)y_t$

where $\Psi_i(x)=\frac{\theta_i(x)}{\phi_i(x)\Delta_i(x)}$ and $k_i=\frac{\sigma_i^2}{\sigma^2}$

$\nu(B, F)$ is the Wiener-Kolmogorv filter