Optimal Filters for Systems Containing Serially Correlated Noise,

Abstract

An algorithm for obtaining optimal state estimates for discrete linear systems in the presence of serially correlated noise in both the observations and system dynamics is derived. The algorithm does not require state augmentation and exhibits a natural relationship between filtering and smoothing for serially correlated systems. (Author)

Document Details

Document Type
Technical Report
Publication Date
Mar 01, 1971
Accession Number
AD0721935

Entities

People

  • F. C. Johnson

Organizations

  • Boeing

Tags

DTIC Thesaurus Topics

  • Acquisition
  • Algorithms
  • Dynamics
  • Filters
  • Filtration
  • Linear Systems
  • Observation

Readers

  • Approximation Theory.
  • Robotics and Automation.