Correspondence item: Discrete linear estimation for previous stage noise correlation

  • Authors:

  • W. J. Steinway;J. L. Melsa

  • Affiliations:

  • Information and Control Sciences Center, Southern Methodist University, Dallas, Texas 75222, USA;Information and Control Sciences Center, Southern Methodist University, Dallas, Texas 75222, USA

  • Venue:
  • Automatica (Journal of IFAC)
  • Year:
  • 1971

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Abstract

A minimum variance linear sequential estimation algorithm, developed by maximum a posteriori likelihood techniques, is given for the case where the current measurement noise, v(k), is correlated with the plant noise of the previous stage, w(k-1).