An innovations approach to least-squares estimation--Part V: Innovations representations and recursive estimation in colored noise
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Publication:5680007
DOI10.1109/TAC.1973.1100366zbMath0263.93048OpenAlexW2107856431MaRDI QIDQ5680007
Roger A. Geesey, Thomas Kailath
Publication date: 1973
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/tac.1973.1100366
Related Items (10)
Optimal smoothing in linear distributed parameter systems via boundary measurements containing coloured noise ⋮ Direct solution to the general reduced-order stochastic observation problem ⋮ New prediction algorithms by covariance information based on innovation theory ⋮ Estimation in continuous linear time delay systems with coloured observation noise ⋮ Estimations of signal and parameters using covariance information in linear continuous systems ⋮ Supplement to 'A survey of data smoothing' ⋮ On linear least-squares estimators for continuous-time stochastic systems ⋮ Constant, predictable and degenerate directions of the discrete-time Riccati equation ⋮ Least-squares state estimation of systems with state-dependent observation noise ⋮ The design of on-line linear least-square estimators given covariance specifications via an imbedding method
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