Minimum variance estimation and prediction theory
β Scribed by L.R. Abramson; K.S. Miller
- Publisher
- Elsevier Science
- Year
- 1967
- Tongue
- English
- Weight
- 643 KB
- Volume
- 5
- Category
- Article
- ISSN
- 0020-7225
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π SIMILAR VOLUMES
A method is developed for linear estimation in the presence of unknown or highly non-Gaussian system inputs. The state update is determined so that it is unaffected by the unknown inputs. The filter may not be globally optimum in the mean square error sense. However, it performs well when the unknow
Bilinear models of time series are considered. Minimum variance predictor for bilinear time series, homogeneous in the input and output, is proposed. Results of minimum variance prediction of bilinear time series are included. They are compared to the results of linear prediction of bilinear time se