New design of linear discrete-time predictor using covariance information

DOI10.1016/0005-1098(83)90116-4zbMath0505.93068OpenAlexW2475312344MaRDI QIDQ1836654

Seiichi Nakamori

Publication date: 1983

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0005-1098(83)90116-4

zbMATH Keywords

state estimationtime-domain analysissignal processingKalman filterscovariance informationcommunications control applicationsdiscrete one-stage predictor algorithm

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05) Prediction theory (aspects of stochastic processes) (60G25)

Cites Work

• Unnamed Item
• New prediction algorithms by covariance information based on innovation theory
• New design of linear least-squares fixed-interval smoother using covariance information
• Relation between filter using covariance information and Kalman filter
• Initial-value system for linear smoothing problems by covariance information
• On the spectral factorization of nonstationary vector random processes
• A new initial-value method for on-line filtering and estimation (Corresp.)

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