Filtering, smoothing and prediction using a control-loop spectral factorization method for coloured noise

DOI10.1002/acs.2285zbMath1273.93160OpenAlexW1932908425MaRDI QIDQ2857511

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Publication date: 4 November 2013

Published in: International Journal of Adaptive Control and Signal Processing (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10292/3443

zbMATH Keywords

predictionsmoothingspectral factorizationoptimal filterrandom noiselinear least-squares estimationcoloured noiserandom signals

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Least squares and related methods for stochastic control systems (93E24) Eigenvalue problems (93B60)

Cites Work

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• A unified approach to optimal estimation using diophantine equations
• A self-tuning filter for fixed-lag smoothing
• Automatic variance control and variance estimation loops

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