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Estimation in linear delayed discrete-time systems with correlated state and measurement noises

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2 Author(s)
B. Rao ; Indian Institute of Technology, New Delhi, India ; A. Mahalanabis

Equations are derived here for the state estimate and the error covariance of a linear system with time delay under the assumption that the noise sequences entering the state and observation equations are correlated. The case of a single-process time delay is considered for convenience and the estimation criterion is taken to be the minimization of the error variance.

Published in:

IEEE Transactions on Automatic Control  (Volume:16 ,  Issue: 3 )