• DocumentCode
    852364
  • Title

    Filtering in discrete-time systems with state and observation noises correlated on a finite time interval

  • Author

    Kowalski, Aleksander ; Szynal, Dominik

  • Author_Institution
    Instytut Matematyki, UMCS, Lublin, Poland
  • Volume
    31
  • Issue
    4
  • fYear
    1986
  • fDate
    4/1/1986 12:00:00 AM
  • Firstpage
    381
  • Lastpage
    384
  • Abstract
    The aim of this note is to give recurrence equations for the state estimate and the error covariance of a linear discrete-time system whose state and observation noises arc correlated on a finite time interval. More precisely, we give the recurrence state estimation equations for the system x(k + 1) = A (k)x(k) + C(k)w(k) (1) y(k) = B(k)x(k) + \\upsilon (k), k = 0, 1, 2, ... , (2) under the assumptions that noises w(k) and w(l) are uncorrelated for |k - l| > q , while w(k) and \\upsilon (l) are uncorrelated for l - k < -s or l - k > t , where q, s, t are known nonnegative integers.
  • Keywords
    Discrete-time systems; State estimation, linear systems; Colored noise; Delay effects; Difference equations; Filtering algorithms; Linear systems; Maximum likelihood detection; Neodymium; Nonlinear filters; Smoothing methods; State estimation;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1986.1104275
  • Filename
    1104275
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=852364