A new method of recursive estimation in discrete linear systems
作者： R. Kashyap
关键词: Mathematics 、 Linear system 、 Noise (signal processing) 、 Filter (signal processing) 、 Signal processing 、 Covariance 、 Covariance matrix 、 Smoothing 、 Applied mathematics 、 State (functional analysis) 、 Mathematical optimization
摘要: Let the measurement z(i) at instant i be of form = y(i) + \eta(i) where is noise and signal obeying a system coupled linear difference equations. A method given for computing gains predictor filter corresponding state x(i) . The are computed recursively from previous without involving covariance matrix state. computational advantages scheme also discussed.
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