RLS Wiener Predictor with Uncertain Observations in Linear Discrete-Time Stochastic Systems

• 作 者: Seiichi Nakamori Raquel Caball
• 机 构: 不详
• 出 处: 信号与信息处理(英文)
• 发表日期: 2011年3期
• 关键词: Estimation Theory Synthesis of Stochastic Systems RLS WIENER PREDICTOR Uncertain

This paper proposes recursive least-squares (RLS) l-step ahead predictor and filtering algorithms with uncertain observations in linear discrete-time stochastic systems. The observation equation is given by y(k)=y(k)z(k)+v(k), z(k)=Hx(k), where {y(k)} is