Cauchy problem for least-squares estimation with semidegenerate covariance

被引：0

作者：

Natsuyama, H ^{[1
]}

Ueno, S ^{[1
]}

机构：

[1] Kyoto Sch Comp Sci, Sakyo Ku, Kyoto 6068225, Japan

来源：

APPLIED MATHEMATICS LETTERS | 1999年 / 12卷 / 04期

关键词：

detection; estimation theory; invariant imbedding; integral equations;

D O I：

10.1016/S0893-9659(99)00041-5

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

A linear least-squares filtering problem with a semidegenerate integral equation is considered. An invariant imbedding treatment reduces this problem to a system of ordinary differential equations with initial conditions. The optimal estimate may be evaluated in a real-time sequential manner through a simple algebraic formula. (C) 1999 Elsevier Science Ltd. All rights reserved.

引用

页码：95 / 99

页数：5

共 50 条

[1] Covariance shaping least-squares estimation
Eldar, YC
Oppenheim, AV
IEEE TRANSACTIONS ON SIGNAL PROCESSING, 2003, 51 (03) : 686 - 697
[2] ON LEAST-SQUARES ESTIMATION OF GENERALIZED COVARIANCE FUNCTIONS
VANDERLINDE, A
MATHEMATICAL GEOLOGY, 1993, 25 (01): : 1 - 7
[3] Comments on "Covariance shaping least-squares estimation"
Zhou, T
IEEE TRANSACTIONS ON SIGNAL PROCESSING, 2004, 52 (10) : 2938 - 2939
[4] AN INITIAL-VALUE SOLUTION OF THE LEAST-SQUARES ESTIMATION PROBLEM WITH DEGENERATE COVARIANCE
UENO, S
APPLIED MATHEMATICS AND COMPUTATION, 1983, 13 (1-2) : 87 - 94
[5] Rebuttal to "Comments on covariance shaping least-squares estimation"
Eldar, YC
Oppenheim, AV
IEEE TRANSACTIONS ON SIGNAL PROCESSING, 2004, 52 (10) : 2939 - 2939
[6] A generalized autocovariance least-squares method for covariance estimation
Akesson, Bemt M.
Jorgensen, John Bagterp
Jorgensen, Sten Bay
2007 AMERICAN CONTROL CONFERENCE, VOLS 1-13, 2007, : 4449 - 4450
[7] ON SHRINKAGE LEAST-SQUARES ESTIMATION IN A PARALLELISM PROBLEM
SALEH, AKME
SEN, PK
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 1986, 15 (05) : 1451 - 1466
[8] Error-Covariance Analysis of the Total Least-Squares Problem
Crassidis, John L.
Cheng, Yang
JOURNAL OF GUIDANCE CONTROL AND DYNAMICS, 2014, 37 (04) : 1053 - 1063
[9] GENERALIZED LEAST-SQUARES ESTIMATION OF A GENOTYPIC COVARIANCE-MATRIX
DAHM, PF
MELTON, BE
FULLER, WA
BIOMETRICS, 1982, 38 (04) : 1112 - 1112
[10] Estimation of missing data in analysis of covariance: A least-squares approach
Ogbonnaya, Chibueze E.
Uzochukwu, Emeka C.
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2016, 45 (07) : 1902 - 1909

← 1 2 3 4 5 →