On the Kalman filter with possibly degenerate and correlated errors

DOI10.1016/j.laa.2003.12.033zbMath1066.93057OpenAlexW2004350673MaRDI QIDQ1881081

Debasis Sengupta

Publication date: 4 October 2004

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.laa.2003.12.033

zbMATH Keywords

correlated noiselinear filteringsingular covariance matrixstatistical linear models

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10)

Cites Work

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• Linear Dynamic Recursive Estimation from the Viewpoint of Regresion Analysis
• SOME THEOREMS IN LEAST SQUARES

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