Critical Issues on Kalman Filter with Colored and Correlated System Noises

DOI10.1002/ASJC.1545zbMath1386.93289OpenAlexW2634032879MaRDI QIDQ4599952

Yong Li, Jin Wu, Chen Fu, Zebo Zhou, Hassen Fourati

Publication date: 5 January 2018

Published in: Asian Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asjc.1545

zbMATH Keywords

correlated noiseKalman filtercolored noiseautoregressive model

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) Control/observation systems governed by ordinary differential equations (93C15)

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