Algorithms for optimal errors-in-variables filtering.

DOI10.1016/S0167-6911(02)00243-8zbMath1106.93340MaRDI QIDQ1853445

Roberto Diversi, Umberto Soverini, Roberto P. Guidorzi

Publication date: 21 January 2003

Published in: Systems \& Control Letters (Search for Journal in Brave)

zbMATH Keywords

Cholesky factorizationKalman filteringRecursive filteringErrors-in-variables modelsInnovations approachOptimal filtering

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)

Related Items (3)

Linear dynamic filtering with noisy input and output ⋮ Least-squares parameter estimation of linear systems with noisy input–output data ⋮ Optimal errors-in-variables filtering

Cites Work

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• The Frisch scheme in dynamic system identification
• From time series to linear system. I: Finite dimensional linear time invariant systems
• Optimal errors-in-variables filtering
• IDENTIFIABILITY IN DYNAMIC ERRORS-IN-VARIABLES MODELS

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