On the Kalman filter with possibly degenerate and correlated errors

DOI10.1016/j.laa.2003.12.033zbMath1066.93057MaRDI QIDQ1881081

Debasis Sengupta

Publication date: 4 October 2004

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.laa.2003.12.033

zbMATH Keywords

correlated noise; linear filtering; singular covariance matrix; statistical linear models

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

93E10: Estimation and detection in stochastic control theory

Cites Work

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