Design of RLS-FIR filter using covariance information in linear continuous-time stochastic systems

DOI10.1016/J.AMC.2013.03.022MaRDI QIDQ2453361zbMATH OpenOpenAlexFDO

Authors Seiichi Nakamori

Publication date 6 June 2014

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

Full work available at URL https://doi.org/10.1016/j.amc.2013.03.022

zbMATH Keywords

continuous-time stochastic systemfiltering algorithmFIR filterRLS filtersignal estimation

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Filtering in stochastic control theory (93E11)

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Cites work

• A receding horizon Kalman FIR filter for discrete time-invariant systems
• A receding horizon Kalman FIR filter for linear continuous-time systems
• FIR filters and recursive forms for continuous time-invariant state-space models
• scientific article; zbMATH DE number 3403601 (Why is no real title available?)
• Initial-value system for linear smoothing problems by covariance information
• Receding-horizon unbiased FIR filters for continuous-time state-space models without a priori initial state information
• RLS fixed-lag smoother using covariance information in linear continuous stochastic systems
• Stochastic models, estimation, and control. Vol. 2,3

Cited in

(3)

• Chandrasekhar-type filter using covariance information for white Gaussian plus colored observation noise.
• Recursive estimation of impulse response function using covariance information in linear continuous stochastic systems
• Breaking the curse of dimensional collapse in graph contrastive learning: a whitening perspective

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