A recursive linear MMSE filter for dynamic systems with unknown state vector means

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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...

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Bibliographic Details
Main Authors:	Khodabandeh, A., Teunissen, Peter
Format:	Journal Article
Published:	Springer 2014
Subjects:	Best linear unbiased estimation (BLUE) BLUE-BLUP recursion Minimummean squared error (MMSE) Kalman filter Best linear unbiased prediction (BLUP)
Online Access:	http://hdl.handle.net/20.500.11937/35782

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