• DocumentCode
    887245
  • Title

    The general solution to a second order optimal filtering problem

  • Author

    Nash, R.A., Jr.

  • Author_Institution
    Dynamics Research Corp., Stoneham, Mass.
  • Volume
    55
  • Issue
    1
  • fYear
    1967
  • Firstpage
    93
  • Lastpage
    94
  • Abstract
    The author considers a e linear time-invariant second order dynamical system resulting in equations representing a first order lag followed by an integrator. The observed output is the output of the integrator corrupted by white noise. The problem is to find the best estimate in the mean square sense of x(t) given Z(τ) for τ between 0 and 1.
  • Keywords
    Covariance matrix; Eigenvalues and eigenfunctions; Filtering; Finite impulse response filter; Kalman filters; Nonlinear filters; Riccati equations; Steady-state; Vectors; White noise;
  • fLanguage
    English
  • Journal_Title
    Proceedings of the IEEE
  • Publisher
    ieee
  • ISSN
    0018-9219
  • Type

    jour

  • DOI
    10.1109/PROC.1967.5392
  • Filename
    1447322
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=887245