Chandrasekhar-type recursive Wiener estimation technique in linear discrete-time stochastic systems
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Publication:2372046
DOI10.1016/j.amc.2006.11.021zbMath1130.93419MaRDI QIDQ2372046
Publication date: 10 July 2007
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2006.11.021
Wiener-Hopf equation; discrete-time stochastic system; RLS Wiener filter; covariance information; wide-sense stationarity; Chandrasekhar-type filter
93C55: Discrete-time control/observation systems
93E10: Estimation and detection in stochastic control theory
93C05: Linear systems in control theory
93E24: Least squares and related methods for stochastic control systems
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