A unified solution to the singular and nonsingular linear minimum-variance estimation problem
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Publication:3786376
DOI10.1109/9.1260zbMath0643.93061MaRDI QIDQ3786376
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
spectral factorization; transfer function matrix; Kalman-Bucy filter; time-invariant; continuous-time; minimum-variance estimator; linear continuous- time system
62M20: Inference from stochastic processes and prediction
15A23: Factorization of matrices
93E11: Filtering in stochastic control theory
93E10: Estimation and detection in stochastic control theory
93C05: Linear systems in control theory
15A24: Matrix equations and identities
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