Kalman-Bucy filters with singular correlated noises
Hadiji, M.M. Sawan, M. Edwin
Hadiji, M.M.
Sawan, M. Edwin
Authors
Other Names
Location
Time Period
Advisors
Original Date
Digitization Date
Issue Date
1989-06-21
Type
Conference paper
Genre
Keywords
Gaussian noise,Nonlinear filters,Observers,Riccati equations,State estimation,Steady-state,Symmetric matrices,Transfer functions,White noise
Subjects (LCSH)
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.
Table of Contents
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
Publisher
IEEE
Journal
Book Title
Series
American Control Conference, 1989 , vol., no., pp.874-875