Recursive linear estimation for discrete time systems in the presence of different multiplicative observation noises

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URI: http://hdl.handle.net/10481/31552
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Author
Sánchez González, Carlos; García-Muñoz, Teresa
Editorial
Universidad de Granada. Departamento de Teoría e Historia Económica
Materia
State estimation
 
Multiplicative noise
 
Uncertain observations
 
Date
2009
Referencia bibliográfica
Sánchez-González, C.; García-Muñoz, T. Recursive linear estimation for discrete time systems in the presence of different multiplicative observation noises. Universidad de Granada. Departamento de Teoría e Historia Económica (2009). (The Papers; 09/09). [http://hdl.handle.net/10481/31552]
Abstract
This paper describes a design for a least mean square error estimator in discrete time systems where the components of the state vector, in measurement equation, are corrupted by different multiplicative noises in addition to observation noise. We show how known results can be considered a particular case of the algorithm stated in this paper.
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Except where otherwise noted, this item's license is described as Creative Commons Attribution-NonCommercial-NoDerivs 3.0 License