New results about the relationship between optimally weighted least squares estimate and linear minimum variance estimate

DOI10.1007/S11424-009-9152-ZzbMath1178.93149OpenAlexW1966565556MaRDI QIDQ1044774

Yunmin Zhu, Juan Zhao

Publication date: 15 December 2009

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-009-9152-z

zbMATH Keywords

conditional expectationnecessary and sufficient conditionlinear minimum variance estimationoptimally weighted least squares estimation

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Least squares and related methods for stochastic control systems (93E24) Optimal stochastic control (93E20)

Cites Work

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• Kalman filtering with real-time applications
• Decentralized structures for parallel Kalman filtering
• Linear Statistical Inference and its Applications

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