Title :
A note on least-squares estimation by the innovations method
Author_Institution :
Stanford University, Stanford, California
Abstract :
A rigorous proof by the innovations method is given for certain results on linear least-squares estimation, especially of the Stratonovich-Kalman-Bucy formulas. Some discussion is also given of the nonlinear problem.
Keywords :
Differential equations; Nonlinear equations; Random variables; State estimation; Stochastic processes; Technological innovation;
Conference_Titel :
Decision and Control, 1971 IEEE Conference on
Conference_Location :
Miami Beach, FL, USA
DOI :
10.1109/CDC.1971.271027
