Adaptive filter theory (3rd ed.)
Adaptive filter theory (3rd ed.)
New recursive estimators from correlated interrupted observations using covariance information
International Journal of Systems Science
Brief paper: Optimal linear estimation for systems with multiple packet dropouts
Automatica (Journal of IFAC)
Journal of Computational and Applied Mathematics
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This paper, using the covariance information, proposes recursive least-squares (RLS) filtering and fixed-point smoothing algorithms with uncertain observations in linear discrete-time stochastic systems. The observation equation is given by y(k) = γ(k)Hx(k) + v(k), where {γ(k)} is a binary switching sequence with conditional probability distribution verifying Eq. (3). This observation equation is suitable for modeling the transmission of data in multichannels as in remote sensing situations. The estimators require the information of the system matrix Φ concerning the state variable which generates the signal, the observation vector H, the crossvariance function Kxz(k,k) of the state variable with the signal, the variance R(k) of the white observation noise, the observed values, the probability p(k): P{γ(k)= 1} that the signal exists in the uncertain observation equation and the (2,2) element [P(k|j)]2,2 of the conditional probability matrix of γ(k), given γ(j).