An innovations approach to least-squares estimation--Part VI: Discrete-time innovations representations and recursive estimation

DOI10.1109/TAC.1973.1100419zbMath0273.93061MaRDI QIDQ5181186

Michel Gevers, Thomas Kailath

Publication date: 1973

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

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10)

Related Items (7)

Characterizing innovations realizations for random processes ⋮ Supplement to 'A survey of data smoothing' ⋮ The rank of a sequence as an indicator of chaos in discrete nonlinear dynamical systems ⋮ A method of orthogonal directions. III: Estimation algorithms of Chandrasekhar and Cholesky types for discrete-time, nonconstant models ⋮ Invariant system description of the stochastic realization ⋮ A finite-time linear filter for discrete-time systems in singular case ⋮ Linear complexity algorithms for semiseparable matrices

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