Risk-sensitive filtering, prediction and smoothing for discrete-time singular systems (Q1858371): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: Publication / rank | |||
Normal rank | |||
Revision as of 04:57, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk-sensitive filtering, prediction and smoothing for discrete-time singular systems |
scientific article |
Statements
Risk-sensitive filtering, prediction and smoothing for discrete-time singular systems (English)
0 references
13 February 2003
0 references
The paper studies in a unified form steady-state risk-sensitive filtering, prediction and smoothing for discrete-time singular systems. In particular, it is shown that the risk-sensitive estimation problem is equivalent to a minimax optimization problem for an indefinite quadratic form. This allows a simple derivation of the required estimators. A numerical example illustrates the procedure described.
0 references
risk-sensitive estimation
0 references
discrete-time singular systems
0 references
ARMA innovation model
0 references
minimax optimization
0 references
indefinite quadratic form
0 references
