Title :
Linear estimation for discrete-time systems in the presence of time-correlated disturbances and uncertain observations
Author :
Carazo, A. Hermoso ; Pérez, J. Linares
Author_Institution :
Granada Univ., Spain
fDate :
8/1/1994 12:00:00 AM
Abstract :
This note considers optimum linear recursive estimation for linear discrete-time systems with uncertain observations in cases where state and measurement noises are correlated. The different kinds of estimation problems treated include one-stage prediction and filtering
Keywords :
discrete time systems; estimation theory; filtering and prediction theory; linear systems; matrix algebra; state estimation; stochastic processes; linear discrete-time systems; measurement noises; one-stage prediction and filtering; optimum linear recursive estimation; state noises; time-correlated disturbances; uncertain observations; Covariance matrix; Filtering; Filters; Genetic expression; Noise measurement; Random variables; Recursive estimation; Signal processing; Time measurement; Vectors;
Journal_Title :
Automatic Control, IEEE Transactions on
