Chandrasekhar-type recursive Wiener estimation technique in linear discrete-time stochastic systems

DOI10.1016/j.amc.2006.11.021zbMath1130.93419MaRDI QIDQ2372046

Seiichi Nakamori

Publication date: 10 July 2007

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2006.11.021

zbMATH Keywords

Wiener-Hopf equation; discrete-time stochastic system; RLS Wiener filter; covariance information; wide-sense stationarity; Chandrasekhar-type filter

Mathematics Subject Classification ID

93C55: Discrete-time control/observation systems

93E10: Estimation and detection in stochastic control theory

93C05: Linear systems in control theory

93E24: Least squares and related methods for stochastic control systems

Cites Work

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• Some new algorithms for recursive estimation in constant linear systems
• Extended Levinson and Chandrasekhar equations for general discrete-time linear estimation problems
• Some new algorithms for recursive estimation in constant, linear, discrete-time systems