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A new prediction algorithm using covariance information in linear continuous systems

โœ Scribed by Seiichi Nakamori


Book ID
118308908
Publisher
Elsevier Science
Year
1991
Tongue
English
Weight
350 KB
Volume
27
Category
Article
ISSN
0005-1098

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Estimations of signal and parameters usi
โœ Seiichi Nakamori ๐Ÿ“‚ Article ๐Ÿ“… 1992 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 850 KB

The estimation problem of a signal is considered for the white Gaussian observation noise in linear continuous systems. At first, the recursive fixed-point smoother and filter are designed using the covariance information. The observation equation is given by y(t) = z(t) + v(t), z(t) = H(t)z(t), whe