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• 10:24, 15 February 2023 Admin talk contribs created page Filtering Problem (Stochastic Processes) (Created page with "{{DISPLAYTITLE:Filtering Problem (Stochastic Processes) (Filtering Problem (Stochastic Processes))}} == Description == The filtering problem is to obtain the best linear estimate $\hat{z}_t$ of $z_t$ based on the past observations ($y_s | s\leq t)$. Abstractly, the solution to the problem of filtering corresponds to explicitly computing $\hat{z}_t = P_t^y(z_t)$ where $P_t^y$ is the projection operator onto the Hilbert space $H_t^y$. == Parameters == No parameters...")