An innovations approach to least squares estimation--Part IV: Recursive estimation given lumped covariance functions
- 1 December 1971
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 16 (6) , 720-727
- https://doi.org/10.1109/tac.1971.1099835
Abstract
We show how to recursively compute linear least squares filtered and smoothed estimates for a lumped signal process in additive white noise. However, unlike the Kalman-Bucy problem, here only the covariance function of the signal process is known and not a specific state-variable model. The solutions are based on the innovations representation for the observation process.Keywords
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