A finite-time linear filter for discrete-time systems in singular case

DOI10.1080/00207728208926346zbMath0483.93082OpenAlexW1975388637MaRDI QIDQ3942861

John O'Reilly

Publication date: 1982

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207728208926346

zbMATH Keywords

transfer- function matrixwhite measurement noiseoptimal Kalman filter state estimate

Mathematics Subject Classification ID

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) Model systems in control theory (93C99)

Cites Work

• Stochastic processes and filtering theory
• Solution of the Kalman filtering problem for stationary noise and finite data records
• An innovations approach to least-squares estimation--Part VI: Discrete-time innovations representations and recursive estimation

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