New design of estimators using covariance information with uncertain observations in linear discrete-time systems

DOI10.1016/S0096-3003(02)00060-7zbMath1016.62110WikidataQ59552633 ScholiaQ59552633MaRDI QIDQ1856001

Seiichi Nakamori, Raquel Caballero-Águila, Aurora Hermoso-Carazo, Josefa Linares-Pérez

Publication date: 28 January 2003

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

zbMATH Keywords

stochastic processes; filtering; factorization; linear discrete-time systems; Wiener-Hopf equation; recursive estimation; covariance information

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

94A12: Signal theory (characterization, reconstruction, filtering, etc.)

Related Items

Polynomial fixed-point smoothing of uncertainly observed signals based on covariances, New recursive estimators from correlated interrupted observations using covariance information, Design of RLS Wiener estimators from randomly delayed observations in linear discrete-time stochastic systems, Second-order polynomial estimators from uncertain observations using covariance information, Recursive estimators of signals from measurements with stochastic delays using covariance information, Chandrasekhar-type filter for a wide-sense stationary signal from uncertain observations using covariance information, Fixed-interval smoothing problem from uncertain observations with correlated signal and noise, Quadratic estimation from uncertain observations with white plus coloured noises using covariance information, Least-squares \(\nu\) th-order polynomial estimation of signals from observations affected by non-independent uncertainty, Recursive fixed-point smoothing algorithm from covariances based on uncertain observations with correlation in the uncertainty

Cites Work

• Unnamed Item
• Unnamed Item
• Estimation technique using covariance information with uncertain observations in linear discrete-time systems
• New design of linear least-squares fixed-point smoother using covariance information in continuous systems
• A view of three decades of linear filtering theory
• Optimal recursive estimation with uncertain observation