Abstract
Abstract In the paper we study the properties of sampling stochastic signals corrupted by a wideband stochastic noise where samples are taken either directly from resulting signal, or as the output from a continuous-time filter. We consider two types of filters: anti-aliasing filters whose characteristics depend solely on sampling period, and Kalman filters, whose characteristics depend on spectra of signals of interest. We also study possible improvement attained by discrete-time Kalman filtering applied to the sampled signal. We compare the results of two competitive methods: classical point-wise sampling followed by discrete-time filtering, and continuous-time filtering prior to sampling possibly followed by digital filtering. The study is performed for a wide range of sampling periods and noise-to-signal ratios and leads to important practical conclusions.
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