Extension du filtre de Chandrasekhar au cas des modèles espace d'état périodiques |
| |
Institution: | U.S.T.H.B., Faculté de mathématiques, El Alia, BP 32, Bab Ezzouar, 16111 Algers, Algeria |
| |
Abstract: | This Note extends the Chandrasekhar-type recursions due to Morf, Sidhu, and Kailath (1974) to the case of periodic time-varying state-space models. We show that the S-lagged increments of the one-step prediction error covariance satisfy certain recursions from which we derive some algorithms for linear least squares estimation for periodic state-space models. The proposed recursions have potential computational advantages over the Kalman Filter and, in particular, the periodic Riccati difference equation. To cite this article: A. Aknouche, F. Hamdi, C. R. Acad. Sci. Paris, Ser. I 346 (2008). |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|