Abstract
In this chapter, we will consider the solution to a class of estimation problems originally developed by (1960A) and (1961) as extensions of (1949) classical work. Our interest is in a class of linear minimum-error-variance sequential state estimation algorithms, referred to as “Wiener-Kalman filters”, “Kalman Bucy filters”, or more commonly, just “Kalman filters”, in recognation of their initial impetus to the theoretical development of the area which has seen extensive development in recent years.
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Hajiyev, C., Caliskan, F. (2003). Linear Kalman Filtering. In: Fault Diagnosis and Reconfiguration in Flight Control Systems. Cooperative Systems, vol 2. Springer, Boston, MA. https://doi.org/10.1007/978-1-4419-9166-9_3
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DOI: https://doi.org/10.1007/978-1-4419-9166-9_3
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