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An innovations approach to least-squares estimation--Part VII: Some applications of vector autoregressive-moving average models

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2 Author(s)
Aasnaes, H. ; A/S Informasjonskontroll, Asker, Norway ; Kailath, T.

We use the innovations method to solve some linear estimation problems for stochastic processes described as the solution of high-order linear difference equations driven by colored noise. Such models are often called vector or multivariable auto-regressive-moving average (ARMA) models. We illustrate how the use of ARMA models can provide some simplifications and some new results in the problem of state estimation in colored noise.

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Automatic Control, IEEE Transactions on  (Volume:18 ,  Issue: 6 )