A unified solution to the singular and nonsingular linear minimum-variance estimation problem

DOI10.1109/9.1260zbMATH Open0643.93061OpenAlexW1980197551MaRDI QIDQ3786376FDOQ3786376

Authors: Esmat Bekir 

Publication date: 1988

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/9.1260

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zbMATH Keywords

Kalman-Bucy filterspectral factorizationtime-invariantcontinuous-timeminimum-variance estimatortransfer function matrixlinear continuous- time system

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Factorization of matrices (15A23) Linear systems in control theory (93C05) Estimation and detection in stochastic control theory (93E10) Matrix equations and identities (15A24)

Cited In (5)

• Design of reduced-order optimal estimators directly in the frequency domain
• State estimation for linear systems with observations partially corrupted by noise
• A simple solution to the singular linear minimum-variance estimation problem
• Modified stochastic Luenberger observers
• Title not available (Why is that?)

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