• DocumentCode
    487770
  • Title

    Kalman-Bucy Filters with Singular Correlated Noises

  • Author

    Hadiji, M.M. ; Sawan, M.E.

  • Author_Institution
    The Electrical Engineering Department, The Wichita State University, Wichita, Kansas 67208
  • fYear
    1989
  • fDate
    21-23 June 1989
  • Firstpage
    874
  • Lastpage
    875
  • Abstract
    This paper presents a solution to the singular linear minimum-vaviance estimation problem in the discrete time case. An expression for the transfer function of the Kalman-Bucy filter with nonsingular correlated noises is derived using the spectral factorization in the zdomain. The case of singular correlated noises is then handled as a special case.
  • Keywords
    Gaussian noise; Nonlinear filters; Observers; Riccati equations; State estimation; Steady-state; Symmetric matrices; Transfer functions; White noise;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    American Control Conference, 1989
  • Conference_Location
    Pittsburgh, PA, USA
  • Type

    conf

  • Filename
    4790312
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=487770