Extended Chandrasekhar recursions

DOI10.1109/9.280773zbMath0816.93088OpenAlexW2166603312MaRDI QIDQ4306723

Ali H. Sayed, Thomas Kailath

Publication date: 11 June 1995

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

Full work available at URL: https://doi.org/10.1109/9.280773

zbMATH Keywords

adaptive filteringleast-squares estimationChandrasekhar recursions

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Least squares and related methods for stochastic control systems (93E24)

Related Items (8)

Square-root algorithms for maximum correntropy estimation of linear discrete-time systems in presence of non-Gaussian noise ⋮ On efficient parametric identification methods for linear discrete stochastic systems ⋮ A unified square-root approach for the score and Fisher information matrix computation in linear dynamic systems ⋮ Computing the Exact Fisher Information Matrix of Periodic State-Space Models ⋮ Extension of the Chandrasekhar filter to the case of periodic state-space models ⋮ A general approach to constructing parameter identification algorithms in the class of square root filters with orthogonal and \(J\)-orthogonal tranformations ⋮ Constructing numerically stable Kalman filter-based algorithms for gradient-based adaptive filtering ⋮ Chandrasekhar-type filter for a wide-sense stationary signal from uncertain observations using covariance information

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