• DocumentCode
    805524
  • Title

    Linear optimal estimation with state dependent disturbances and time-correlated measurement noise

  • Author

    McLane, P.

  • Author_Institution
    Queen´s University, Kingston, Ontario, Canada
  • Volume
    16
  • Issue
    2
  • fYear
    1971
  • fDate
    4/1/1971 12:00:00 AM
  • Firstpage
    198
  • Lastpage
    200
  • Abstract
    The linear filtering, prediction, and smoothing problems are treated for linear message processes with state-dependent noise and time-correlated measurement noise. In particular, a general smoothing formula for these classes of message processes is developed. The derivation evolves directly from the Wiener-Hopf equation and does not use the innovations process.
  • Keywords
    Estimation; Linear systems, stochastic continuous-time; Smoothing methods; Wiener-Hopf theory; Covariance matrix; Differential equations; Electrons; Kalman filters; Noise measurement; Smoothing methods; State estimation; Stochastic resonance; Technological innovation; Vectors;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1971.1099670
  • Filename
    1099670
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=805524