Linear estimation for discrete-time systems in the presence oftime-correlated disturbances and uncertain observations |
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Authors: | Carazo A.H. Perez J.L. |
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Affiliation: | Granada Univ.; |
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Abstract: | This note considers optimum linear recursive estimation for linear discrete-time systems with uncertain observations in cases where state and measurement noises are correlated. The different kinds of estimation problems treated include one-stage prediction and filtering |
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