Linear Optimal Control Systems
Linear Optimal Control Systems
Recursive bayesian estimation using gaussian sums
Automatica (Journal of IFAC)
Simultaneous optimum detection and estimation of signals in noise
IEEE Transactions on Information Theory
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For the class of linear Gauss-Markov systems with binary parameters uncertainty, the minimum variance estimate of the state and associated covariance of error expressions were derived in a closed form in [1, 2]. In this paper expressions for the conditional and unconditional covariances of error matrices are presented for the M-ary case. Useful upper and lower bounds for the unconditional covariance of error are also presented which are valid, on the average, for any measurement sequence. A geophysical seismic data filtering example applying these results is also given.