Chandrasekhar-type filter using covariance information for white Gaussian plus colored observation noise.

DOI10.1016/S0165-1684(00)00105-5zbMath1035.94515OpenAlexW2092193435MaRDI QIDQ1575785

N. Delaunay

Publication date: 21 August 2000

Published in: Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1684(00)00105-5

zbMATH Keywords

Signal processingFilterEstimationLinear stochastic systemsCovariance informationChandrasekhar-type filterColored observation noiseWhite Gaussian observation noise

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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Chandrasekhar-type recursive Wiener estimation technique in linear discrete-time stochastic systems ⋮ Design of a fixed-interval smoother using covariance information based on the innovations approach in linear discrete-time stochastic systems ⋮ Chandrasekhar-type filter for a wide-sense stationary signal from uncertain observations using covariance information

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