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

DOI10.1109/9.1260zbMath0643.93061OpenAlexW1980197551MaRDI QIDQ3786376

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

zbMATH Keywords

spectral factorizationtransfer function matrixKalman-Bucy filtertime-invariantcontinuous-timeminimum-variance estimatorlinear continuous- time system

Mathematics Subject Classification ID

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

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Design of reduced-order optimal estimators directly in the frequency domain ⋮ Unnamed Item ⋮ State estimation for linear systems with observations partially corrupted by noise ⋮ Modified stochastic Luenberger observers

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