A Note on Least Squares Estimation by the Innovations Method

DOI10.1137/0310037zbMath0267.62023OpenAlexW1994310912MaRDI QIDQ5684107

Thomas Kailath

Publication date: 1972

Published in: SIAM Journal on Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0310037

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonparametric inference (62G99)

Related Items (12)

An extension of the special factorization with applications to Wiener- Hopf equations ⋮ Patterns and structure in systems governed by linear second-order differential equations ⋮ A factorization on the semi-infinite interval. I: General theory ⋮ On the Innovation Theorem ⋮ Measurement scheduling for recursive team estimation ⋮ Transmutation and linear stochastic estimation ⋮ Supplement to 'A survey of data smoothing' ⋮ A new martingale approach to Kalman filtering ⋮ A martingale approach to state estimation in delay-differential systems ⋮ An alternative approach to nonlinear filtering ⋮ The role of observations in stochastic linear dynamic models ⋮ Innovation processes associated with stationary Gaussian processes with application to the problem of prediction

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