Lectures on linear least-squares estimation

MaRDI QIDQ1251441zbMATH OpenFDO

Authors T. Kailath

Publication date 1976

Published in CISM International Centre for Mechanical Sciences. Courses and Lectures (Search for Journal in Brave)

zbMATH Keywords

Arma ModelsContinuous-Time Constant-Parameter ModelsDiscrete-Time Recursive EstimationFast AlgorithmsKalman FilterLinear Least-Squares EstimationMultivariate ProblemsTime SeriesWiener Filters

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11) Stationary stochastic processes (60G10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01)

Cited in

(23)

• Parallel algorithm for solving linear systems arising from PDE and integral equations
• Design of RLS fixed-lag smoother using covariance information in linear discrete stochastic systems
• RLS fixed-lag smoother using covariance information in linear continuous stochastic systems
• Design of RLS Wiener fixed-lag smoother using covariance information in linear discrete stochastic systems
• A linearly distributed lag estimator with \(r\)-convex coefficients
• New design of recursive Wiener fixed-lag smoother in linear discrete-time stochastic systems
• A passive type multiple-model adaptive control (MMAC) of linear discrete-time stochastic systems with uncertain observation subsystems
• Design of fixed-lag smoother using covariance information based on innovations approach in linear discrete-time stochastic systems
• Deterministic least squares filtering.
• Generalized fixed-interval smoothers for discrete-time systems
• New design of fixed-lag smoother using covariance information in linear discrete-time stochastic systems
• Adaptive identification of systems with distributed lags
• The design of on-line linear least-square estimators given covariance specifications via an imbedding method
• Recursive estimators of signals from measurements with stochastic delays using covariance information
• Estimation of multivariate signal by output autocovariance data in linear discrete-time systems
• New design of fixed-interval smoother using covariance information in linear stochastic continuous-time systems
• Design of recursive least-squares fixed-lag smoother using covariance information in linear continuous stochastic systems
• Design of a fixed-interval smoother using covariance information based on the innovations approach in linear discrete-time stochastic systems
• Design of recursive Wiener fixed-point smoothers based on innovations approach in linear discrete-time stochastic systems
• Robust mean-squared error estimation of multiple signals in linear systems affected by model and noise uncertainties
• Factorization Along Nest Algebras
• Fixed-interval smoothing problem from uncertain observations with correlated signal and noise
• A unified approach to optimal estimation using diophantine equations

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