Kalman-Bucy filters with singular correlated noises
Sawan, M. Edwin
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Hadiji, M.M.; Sawan, M. E.; , "Kalman-Bucy Filters with Singular Correlated Noises," American Control Conference, 1989 , vol., no., pp.874-875, 21-23 June 1989
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.
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