On the Kalman filter with possibly degenerate and correlated errors (Q1881081)
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scientific article; zbMATH DE number 2105752
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the Kalman filter with possibly degenerate and correlated errors |
scientific article; zbMATH DE number 2105752 |
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On the Kalman filter with possibly degenerate and correlated errors (English)
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4 October 2004
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The paper is concerned with the filtering problem for linear stochastic models with state and observation noises which are possibly correlated and with singular covariance matrices. An algorithm for the solution of this problem is proposed based on general results concerning parameter estimation in statistical linear models.
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linear filtering
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correlated noise
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singular covariance matrix
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statistical linear models
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