ABSTRACT
A linear filter is an operation S , that takes a function x(t), the input, and transforms it into another function, y(t) = (S x)(t), the output, in such a way that the transform of a linear combination of functions is equal to the same linear combination of the transforms of the individual functions. Applied to stationary processes, they can be used for prediction of future values, interpolation of intermediate, missing values, and for identification of interesting features or removal of noise.
