Explicit solution to the singular discrete-time stationary linear filtering problem

DOI10.1109/TAC.1985.1103784zbMath0556.93068OpenAlexW1966146718MaRDI QIDQ3222091

Uri Shaked

Publication date: 1985

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.1985.1103784

zbMATH Keywords

closed-form expressionshigh signal-to-noise ratiosingular casecoloured measurement noisestationary discrete-time linear minimum variance filtering

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Stationary stochastic processes (60G10) Discrete-time control/observation systems (93C55) Linear systems in control theory (93C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Eigenvalues, singular values, and eigenvectors (15A18)

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