Square-root algorithms of RLS Wiener filter and fixed-point smoother in linear discrete stochastic systems (Q2518707)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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