Explicit construction of the minimum error variance estimator for stochastic LTI-ss systems

Deividas Eringis*, John Leth, Zheng Hua Tan, Rafal Wisniewski, Mihaly Petreczky

*Kontaktforfatter

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1 Citationer (Scopus)
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Abstract

We showcase the derivation of the optimal (minimum error variance) estimator, when one part of the stochastic LTI system outputs is not measured but is able to be predicted from the measured system outputs.

OriginalsprogEngelsk
Artikelnummer111018
TidsskriftAutomatica
Vol/bind153
ISSN0005-1098
DOI
StatusUdgivet - jul. 2023

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