Risk-sensitive filtering, prediction and smoothing for discrete-time singular systems (Q1858371)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk-sensitive filtering, prediction and smoothing for discrete-time singular systems |
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Risk-sensitive filtering, prediction and smoothing for discrete-time singular systems (English)
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13 February 2003
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The paper studies in a unified form steady-state risk-sensitive filtering, prediction and smoothing for discrete-time singular systems. In particular, it is shown that the risk-sensitive estimation problem is equivalent to a minimax optimization problem for an indefinite quadratic form. This allows a simple derivation of the required estimators. A numerical example illustrates the procedure described.
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risk-sensitive estimation
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discrete-time singular systems
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ARMA innovation model
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minimax optimization
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indefinite quadratic form
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