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Development of new estimation algorithms by innovations analysis and shift-invariance properties (Corresp.)

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2 Author(s)

It is shown how certain innovations decompositions can be used to obtain aa alternative derivation of some new estimating algorithms, based on Chandrasekhar-type equation. Such equations were originally obtained in radiative-transfer theory by using some invariance principles due to Ambartsumian and Chandrasekhar. Stationary processes have a natural shift invariance, but we show here how state-space descriptions can be used to bring out such invariances for nonstationary processes generated as the response to white noise of constant-parameter state-space models.

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IEEE Transactions on Information Theory  (Volume:20 ,  Issue: 6 )