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Cauchy problem for least-squares estimation with semidegenerate covariance

โœ Scribed by H. Natsuyama; S. Ueno

Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
195 KB
Volume
12
Category
Article
ISSN
0893-9659

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โœฆ Synopsis

A linear least-squares filtering problem with a semidegenerate integral equation is considered. An invariant imbedding treatment reduces this problem to a system of ordinary differential equations with initial conditions. The optimal estimate may be evaluated in a real-time sequential manner through a simple algebraic formula.

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โœ Y.L. Tong ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 406 KB

For n > 1 let X = (X 1 ..... X,)' have a mean vector 01 and covariance matrix ~r2~, where 1 = (1,..., 1)', ~E is a known positive definite matrix, and ~r ~ > 0 is either known or unknown. This model has been found useful when the observations X l ..... X, from a population with mean O are not indepe