OPTIMAL FILTERING FOR CORRELATED NOISE,

Abstract

The Kalman-Bucy theory of linear filtering for observations corrupted by white noise is extended to colored noise problems without state augmentation. By considering natural correlated case definitions of controllability and observability, the stability, steady-state existence, and uniqueness are shown to be consequences of the theory for the white noise filter. (Author)

Document Details

Document Type
Technical Report
Publication Date
Sep 01, 1966
Accession Number
AD0646275

Entities

People

  • R. S. Bucy

Organizations

  • RAND Corporation

Tags

DTIC Thesaurus Topics

  • Filters
  • Filtration
  • Linear Filtering
  • Noise
  • Steady State
  • White Noise

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.