The design of on-line linear least-square estimators given covariance specifications via an imbedding method

DOI10.1016/0096-3003(83)90030-9zbMath0575.65149OpenAlexW2067346298MaRDI QIDQ1064043

Masanori Sugisaka

Publication date: 1983

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0096-3003(83)90030-9

zbMATH Keywords

fixed-pointinvariant imbeddingfilteron-line algorithmspredictorsstochastic signalsWiener-Hopf integral equationlinear least-squares estimatorsfixed-lagfixed-interval smootherswhite Gaussian plus colored noise

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Integral equations of the convolution type (Abel, Picard, Toeplitz and Wiener-Hopf type) (45E10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (3)

On the smoothing estimation problem for the intensity of a DSMPP ⋮ Design of recursive least-squares fixed-lag smoother using covariance information in linear continuous stochastic systems ⋮ Design of RLS Wiener fixed-lag smoother using covariance information in linear discrete stochastic systems

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