Discrete-time filtering for linear systems with non-Gaussian initial conditions: asymptotic behavior of the difference between the MMSE and LMSE estimates

DOI10.1109/9.109645zbMath0747.93075OpenAlexW2115561524MaRDI QIDQ3991635

Armand M. Makowski, Richard B. Sowers

Publication date: 28 June 1992

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

Full work available at URL: https://doi.org/10.1109/9.109645

zbMATH Keywords

discrete-time linear systemsGaussian white noisesone-step prediction problem

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Stochastic systems in control theory (general) (93E03)

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