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On Linear Least-Squares Estimators for Continous-Time Stochastic Systems

✍ Scribed by John O'Reilly

Publisher
Elsevier Science
Year
1979
Tongue
English
Weight
657 KB
Volume
307
Category
Article
ISSN
0016-0032

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✦ Synopsis

problem of least-squares state estimation of stochastic continuous-time linear systems is reconsidered. A concise derivation of the least-squares minimal-order estimator is presented using an innouations approach. An important result is the reinstatement of the problem in a least-squares estimation framework independent of deterministic obseruer theory. A second result is thus the clarification of previous approaches to the problem, particularly in relation to observer theory.

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