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    Kalman-Bucy filters with singular correlated noises

    Date
    1989-06-21
    Author
    Hadiji, M.M.
    Sawan, M. Edwin
    Metadata
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    Citation
    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
    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.
    Description
    The full text of this article is not available on SOAR. WSU users can access the article via IEEE Xplore database licensed by University Libraries: http://libcat.wichita.edu/vwebv/holdingsInfo?bibId=1045954
    URI
    http://hdl.handle.net/10057/4108
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