PRIOR INFORMATION AND BIAS IN SEQUENTIAL ESTIMATION,
Abstract
This article applies discrete sequential filtering to estimation of an unknown vector x imbedded in nonstationary uncorrelated noise, when observations depend linearly on x in a time-varying manner. Such a situation occurs in trajectory determination close to the earth. We solve the recursive filter equations to obtain the n-th estimate of x, xn, and its convariance matrix Pn, in terms of the observations (zi, i=1, ..., n) and initial values xo, Po. These expressions illustrate how the a priori information can introduce bias into the sequential estimates.
Document Details
- Document Type
- Technical Report
- Publication Date
- Aug 01, 1967
- Accession Number
- AD0657754
Entities
People
- Allen Klinger
Organizations
- RAND Corporation