An initial-value solution of the least-squares estimation problem with degenerate covariance

DOI10.1016/0096-3003(83)90031-0zbMath0536.93063MaRDI QIDQ792286

Sueo Ueno

Publication date: 1983

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0096-3003(83)90031-0

zbMATH Keywords

Bellman-Krein-Sobolev type formula; degenerate covariance; linear least-square estimation; Wiener-Hopf type Fredholm integral equation

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

93E11: Filtering in stochastic control theory

93E10: Estimation and detection in stochastic control theory

34A34: Nonlinear ordinary differential equations and systems

60G35: Signal detection and filtering (aspects of stochastic processes)

45E10: Integral equations of the convolution type (Abel, Picard, Toeplitz and Wiener-Hopf type)

45B05: Fredholm integral equations

Related Items

Cauchy problem for least-squares estimation with semidegenerate covariance

Cites Work

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