A derivation of the complex fast Kalman algorithm

DOI10.1109/TASSP.1984.1164470MaRDI QIDQ3698261zbMATH OpenOpenAlexFDO

Authors S. T. Alexander

Publication date 1984

Published in IEEE Transactions on Acoustics, Speech, and Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tassp.1984.1164470

zbMATH Keywords

complex fast Kalman algorithmleast squares predictionreal domain algorithmrecursive linear prediction algorithm

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Probabilistic methods, stochastic differential equations (65C99)

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Cited in

(1)

• A unified derivation for fast estimation algorithms by the conjugate direction method

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