Filtering in discrete-time systems with state and observation noises correlated on a finite time interval

DOI10.1109/TAC.1986.1104275zbMath0592.93062OpenAlexW2047648764MaRDI QIDQ3722395

Aleksander Kowalski, Dominik Szynal

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1109/tac.1986.1104275

zbMATH Keywords

discrete-time linear filteringcoloured noisesFixed-step state estimatesstate and observation noises

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Gaussian processes (60G15) 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)

Related Items (4)

Linear estimation for discrete systems with uncertain observations: an application to the correction of declared incomes in inquiry ⋮ On state estimation and control in discrete-time systems of linear type ⋮ Unnamed Item ⋮ Recursive linear estimation for discrete-time systems in the presence of different multiplicative observation noises

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