Minimum Variance Prediction for Linear Time-Varying Systems
作者： Zheng Li , R.J. Evans , B. Wittenmark
DOI: 10.1016/S1474-6670(17)47783-4
关键词: Moving average 、 Time complexity 、 Autoregressive model 、 Applied mathematics 、 Mathematics 、 Kalman filter 、 Transfer operator 、 Linear system 、 Large class 、 Minimum-variance unbiased estimator
摘要: In this paper we study the problem of minimum variance prediction for linear time-varying systems. We consider standard autoregression moving average (ARMA) model and develop a predictor which guarantees large class The is developed based on pseudocommutation technique dealing with noncommutativity operators in transfer operator framework. also show connections between input-output Kalman via an example.
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