Title :
Estimation in linear delayed discrete-time systems with correlated state and measurement noises
Author :
Rao, B. V Raja ; Mahalanabis, A.K.
Author_Institution :
Indian Institute of Technology, New Delhi, India
fDate :
6/1/1971 12:00:00 AM
Abstract :
Equations are derived here for the state estimate and the error covariance of a linear system with time delay under the assumption that the noise sequences entering the state and observation equations are correlated. The case of a single-process time delay is considered for convenience and the estimation criterion is taken to be the minimization of the error variance.
Keywords :
Linear systems, time-varying discrete-time; State estimation; Time-delay systems; Covariance matrix; Delay effects; Delay estimation; Delay lines; Delay systems; Equations; Estimation error; Gaussian noise; Noise measurement; State estimation;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1971.1099714
