ESTIMATION USING SAMPLED-DATA CONTAINING SEQUENTIALLY CORRELATED NOISE.
Abstract
The paper presents improved filtering, prediction, and smoothing procedures for multi-stage linear dynamic systems when the measured quantities are linear combinations of the state variables with additive sequentially correlated noise. The 'augmented state' procedure suggested by Kalman may lead to ill-conditioned computations in constructing the data processing filter. The design procedure described here eliminates these ill-conditioned computations and reduces the dimension of the filter required. The results include explicit relations for prediction, filtering, and smoothing procedures and the associated covariance matrices. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Jun 01, 1967
- Accession Number
- AD0656396
Entities
People
- A. E. Bryson Jr.
- L. J. Henrikson
Organizations
- Harvard University