Some reduced-order non-Riccati equations for linear least-squares estimation : the stationary, single-output case†

DOI10.1080/00207177608932864MaRDI QIDQ4110896zbMATH OpenOpenAlexFDO

Authors Anders Lindquist

Publication date 1976

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207177608932864

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal detection and filtering (aspects of stochastic processes) (60G35) Estimation and detection in stochastic control theory (93E10)

Cites work

• scientific article; zbMATH DE number 3138903 (Why is no real title available?)
• scientific article; zbMATH DE number 3152453 (Why is no real title available?)
• A New Algorithm for Optimal Filtering of Discrete-Time Stationary Processes
• A new initial-value method for on-line filtering and estimation (Corresp.)
• Optimal control of linear multivariable systems with quadratic performance index, and the inverse optimal control problem
• Optimal linear filtering theory and radiative transfer: Comparisons and interconnections
• Some new algorithms for recursive estimation in constant linear systems

Cited in

(3)

• On the Phase Portrait of the Fast Filtering Algorithms
• On a Schur-algorithm based approach to spectral factorization: Connection with the Riccati equation
• Some new non-Riccati algorithms for continuous-time Kalman-Bucy filtering

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