{"title":"Kalman-Bucy Filters with Singular Correlated Noises","authors":"M. M. Hadiji, M. Sawan","doi":"10.23919/ACC.1989.4790312","DOIUrl":null,"url":null,"abstract":"This paper presents a solution to the singular linear minimum-vaviance estimation problem in the discrete time case. An expression for the transfer function of the Kalman-Bucy filter with nonsingular correlated noises is derived using the spectral factorization in the zdomain. The case of singular correlated noises is then handled as a special case.","PeriodicalId":383719,"journal":{"name":"1989 American Control Conference","volume":"6 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"1989-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"1989 American Control Conference","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.23919/ACC.1989.4790312","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
This paper presents a solution to the singular linear minimum-vaviance estimation problem in the discrete time case. An expression for the transfer function of the Kalman-Bucy filter with nonsingular correlated noises is derived using the spectral factorization in the zdomain. The case of singular correlated noises is then handled as a special case.
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