The asymptotic minimum variance estimate of stationary linear single output processes

DOI10.1109/TAC.1981.1102612zbMath0472.93059OpenAlexW2084407783MaRDI QIDQ3927150

Uri Shaked, Ben Zion Bobrovsky

Publication date: 1981

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.1981.1102612

zbMATH Keywords

transfer functionoptimal filtermultiinput systemsasymptotic minimum variance estimatecolored observation noise problemserror covariance matrix of estimateminimum- and nonminimum-phase systemsoptimal Kalman gainsstationary linear single output processesweak measurement noise

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05)

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