Recursive linear estimation for discrete time systems in the presence of different multiplicative observation noises

This paper describes a design for a least mean square error estimator in discrete time systems where the components of the state vector, in measurement equation, are corrupted by different multiplicative noises in addition to observation noise. We show how known results can be considered a particular case of the algorithm stated in this paper

MoreLess

Year of publication:	2009-11-27
Authors:	García-Muñoz, Teresa M. ; Sánchez-González, Carlos
Institutions:	Departamento de Teoría e Historia Económica, Facultad de Ciencias Económicas y Empresariales
Subject:	State estimation \| multiplicative noise \| uncertain observations

More details

Extent:	application/pdf
Series:	ThE Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 09/09 14 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008469051