A Modified Displacement Rank and Some Applications.
Abstract
Recursive Algorithms for linear least squares estimation problems have been based mainly on state-space models. Recently, some new recursive solutions were obtained for processes classified in terms of their index of nonstationarity or equivalently--the displacement rank of their covariance functions. While this definition provides a natural explanation of the properties of constant-coefficient state-space models, it is not satisfactory for time-variant models. However a modified definition of the displacement rank makes it possible to imbed time-varying state-space models in the more general input-output framework. In so doing, one is able to show the mutual relationships of the Kalman filter Riccati equation, the time-varying Chandrasekhar equations and the Krein-Levinson equations.
Document Details
- Document Type
- Technical Report
- Publication Date
- Dec 01, 1977
- Accession Number
- ADA050303
Entities
People
- B. Friedlander
- M. Morf
- Thomas Kailath
Organizations
- Stanford University