Extension of the Chandrasekhar filter to the case of periodic state-space models

DOI10.1016/J.CRMA.2007.12.006MaRDI QIDQ2472984zbMATH OpenOpenAlexFDO

Authors Fayçal Hamdi, Abdelhakim Aknouche

Publication date 25 February 2008

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2007.12.006

zbMATH Keywords

Kalman filterlinear least squares estimationperiodic time-varying state-space models

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Least squares and related methods for stochastic control systems (93E24)

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Cites work

• Algorithm AS 197: A Fast Algorithm for the Exact Likelihood of Autoregressive-Moving Average Models
• Asymptotic influence of mean-correction on estimating a periodic AR(1) model.
• Chandrasekhar-type filter for a wide-sense stationary signal from uncertain observations using covariance information
• Chandrasekhar-type recursions for periodic linear systems
• Extended Chandrasekhar recursions
• Generalized Chandrasekhar recursions from the generalized Schur algorithm
• scientific article; zbMATH DE number 3680971 (Why is no real title available?)
• Numerical solution of the discrete-time periodic Riccati equation
• Periodic Lyapunov equations: Some applications and new algorithms
• Recursive prediction and likelihood evaluation for periodic ARMA models
• Some new algorithms for recursive estimation in constant, linear, discrete-time systems
• The difference periodic Ricati equation for the periodic prediction problem

Cited in

(1)

• Chandrasekhar-type recursions for periodic linear systems

Describes a project that uses

Uses Software

• AS 197

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