New design of estimators using covariance information with uncertain observations in linear discrete-time systems
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Publication:1856001
DOI10.1016/S0096-3003(02)00060-7zbMath1016.62110WikidataQ59552633 ScholiaQ59552633MaRDI QIDQ1856001
Seiichi Nakamori, Raquel Caballero-Águila, Aurora Hermoso-Carazo, Josefa Linares-Pérez
Publication date: 28 January 2003
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
stochastic processes; filtering; factorization; linear discrete-time systems; Wiener-Hopf equation; recursive estimation; covariance information
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
94A12: Signal theory (characterization, reconstruction, filtering, etc.)
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