A recursive linear MMSE filter for dynamic systems with unknown state vector means
In this contribution we extend Kalman-filter theory by introducing a new recursive linear minimum mean squared error (MMSE) filter for dynamic systems with unknown state-vector means. The recursive filter enables the joint MMSE prediction and estimation of the random state vectors and their unknown...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
Springer
2014
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/35782 |