Square-root algorithms of RLS Wiener filter and fixed-point smoother in linear discrete stochastic systems (Q2518707): Difference between revisions

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Latest revision as of 00:12, 29 June 2024

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Square-root algorithms of RLS Wiener filter and fixed-point smoother in linear discrete stochastic systems
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    Square-root algorithms of RLS Wiener filter and fixed-point smoother in linear discrete stochastic systems (English)
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    16 January 2009
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    square-root algorithms
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    discrete-time systems
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    Wiener-Hopf equation
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    covariance information
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    numerical examples
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    QR decomposition
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    UD factorization
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    recursive least-squares
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    Riccati-type difference equations
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    auto-variance function
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    filtering estimate
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    stability
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    Wiener estimators
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