Linear dynamic filtering with noisy input and output

DOI10.1016/j.automatica.2004.08.014zbMath1066.93056OpenAlexW2009482743MaRDI QIDQ705457

Ivan Markovsky, Bart De Moor

Publication date: 31 January 2005

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://eprints.soton.ac.uk/263299/1/eivkf_published.pdf

zbMATH Keywords

discrete-time linear systemsKalman filteringerrors-in-variableslatencymisfitleast-squares estimateoptimal smoothing

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Biomedical imaging and signal processing (92C55) Least squares and related methods for stochastic control systems (93E24) Data smoothing in stochastic control theory (93E14)

Related Items (4)

Data-driven simulation and control ⋮ Model selection approaches for non-linear system identification: a review ⋮ Robust Kalman filter and smoother for errors-in-variables state space models with observation outliers based on the minimum-covariance determinant estimator ⋮ Data-driven dynamic interpolation and approximation

Cites Work

• Deterministic Kalman filtering in a behavioral framework
• Algorithms for optimal errors-in-variables filtering.
• Optimal errors-in-variables filtering
• Fault Detection and Isolation with Robust Principal Component Analysis
• Global total least squares modeling of multivariable time series
• Kalman filtering in extended noise environments
• Misfit versus latency

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