Estimations of signal and parameters using covariance information in linear continuous systems

DOI10.1016/0895-7177(92)90056-QzbMath0781.62138OpenAlexW2011203349MaRDI QIDQ1206141

Seiichi Nakamori

Publication date: 1 April 1993

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0895-7177(92)90056-q

zbMATH Keywords

linear continuous systemscovariance informationwhite Gaussian observation noisespectral factorization problemlinear least squares filteringrecursive fixed-point smoother

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Non-Markovian processes: estimation (62M09) Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10)

Cites Work

• Unnamed Item
• Initial-value system for linear smoothing problems by covariance information
• Spectral factorization of a finite-dimensional nonstationary matrix covariance
• On the spectral factorization of nonstationary vector random processes
• A view of three decades of linear filtering theory
• A new initial-value method for on-line filtering and estimation (Corresp.)
• An innovations approach to least-squares estimation--Part V: Innovations representations and recursive estimation in colored noise

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