Algorithms for optimal errors-in-variables filtering.

DOI10.1016/S0167-6911(02)00243-8MaRDI QIDQ1853445zbMATH OpenFDO

Authors Roberto Diversi, Umberto Soverini, Roberto Guidorzi

Publication date 21 January 2003

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-6911(02)00243-8

zbMATH Keywords

Cholesky factorizationErrors-in-variables modelsInnovations approachKalman filteringOptimal filteringRecursive filtering

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)

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• The Frisch scheme in dynamic system identification

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• Least-squares parameter estimation of linear systems with noisy input–output data
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