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A unified approach to multivariable discrete-time filtering based on the Wiener theory. (English) Zbl 0627.93067

This paper presents a unified approach to the discrete-time stationary filtering problem, based on the multivariable Wiener theory. It includes the Kalman filter and the Hagander-Wittenmark filter as special cases.
Reviewer: P.Morettin

MSC:

93E11 Filtering in stochastic control theory
62M15 Inference from stochastic processes and spectral analysis
62M20 Inference from stochastic processes and prediction
93C35 Multivariable systems, multidimensional control systems
93C55 Discrete-time control/observation systems
93E10 Estimation and detection in stochastic control theory
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References:

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