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

DOI10.1016/J.AMC.2006.11.021zbMATH Open1130.93419OpenAlexW2021937016MaRDI QIDQ2372046FDOQ2372046

Authors 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

discrete-time stochastic systemRLS Wiener filterWiener-Hopf equationcovariance informationwide-sense stationarityChandrasekhar-type filter

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Least squares and related methods for stochastic control systems (93E24)

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Cites work

• scientific article; zbMATH DE number 3403601 (Why is no real title available?)
• Chandrasekhar-type filter for a wide-sense stationary signal from uncertain observations using covariance information
• Chandrasekhar-type filter using covariance information for white Gaussian plus colored observation noise.
• Extended Levinson and Chandrasekhar equations for general discrete-time linear estimation problems
• Scattering theory and linear least squares estimation. II: Discrete-time problems
• Some new algorithms for recursive estimation in constant linear systems
• Some new algorithms for recursive estimation in constant, linear, discrete-time systems

Cited in

(6)

• Chandrasekhar-type recursions for periodic linear systems
• RLS Wiener estimators from observations with multiple and random delays in linear discrete-time stochastic systems
• Square-root algorithms of RLS Wiener filter and fixed-point smoother in linear discrete stochastic systems
• Chandrasekhar-type filter for a wide-sense stationary signal from uncertain observations using covariance information
• scientific article; zbMATH DE number 12794 (Why is no real title available?)
• Fast algorithms for discrete-time Wiener filters with optimum lag

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