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Discrete-time Filtering for Linear Systems in Correlated Noise with Non-Gaussian Initial Conditions

其他書名	Asymptotic Behavior of the Difference Between the MMSE and LMSE Estimates
出版	University of Maryland, Systems Research Center, 1989
URL	http://books.google.com.hk/books?id=2SItOAAACAAJ&hl=&source=gbs_api

註釋Abstract: "We consider the one-step prediction problem for discrete-time linear systems in correlated plant and observation noises, and non-Gaussian initial conditions. We investigate the asymptotic behavior of the expected square [symbol with t subscripted] of the difference between the MMSE and LMMSE (or Kalman) estimates of the state given past observations. We characterize the limit of the error sequence ([symbol with t subscripted], t = 0, 1 ...) and obtain some related rates of convergence, with complete analysis being provided for the scalar case. The discussion is based on the explicit representations which were obtained by the authors in [,] for the MMSE and LMMSE estimates, and which explicitly display the dependence of these quantities on the initial distribution."