DocumentCode
3253104
Title
Continuous-time errors-in-variables filtering
Author
Markovsky, Ivan ; Willems, Jan C. ; De Moor, Bart
Author_Institution
ESAT-SCD, Univ. of Leuven, Belgium
Volume
3
fYear
2002
fDate
10-13 Dec. 2002
Firstpage
2576
Abstract
We consider estimation problems for a continuous-time linear system with a state disturbance and additive errors on the input and the output. The problem formulation and the estimation principle are deterministic. The derived filter is identical to the stochastic Kalman filter. The problem formulation with additive error on both the input and the output, however, is more symmetric then the classical Kalman filter one and allows interpretation in terms of misfit and latent variables.
Keywords
Kalman filters; continuous time systems; linear systems; state-space methods; Kalman filtering; additive errors; continuous-time linear system; errors-in-variables; estimation; latency; misfit; state disturbance; stochastic Kalman filter; Costs; Delay; Equations; Filtering; Linear systems; Measurement errors; Nonlinear filters; State estimation; State-space methods; Stochastic processes;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 2002, Proceedings of the 41st IEEE Conference on
ISSN
0191-2216
Print_ISBN
0-7803-7516-5
Type
conf
DOI
10.1109/CDC.2002.1184226
Filename
1184226
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