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Google圖書搜尋
Discrete-time Filtering for Linear Systems in Correlated Noise with Non-Gaussian Initial Conditions
Richard B. Sowers
Armand M. Makowski
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."