A new structure of recursive estimator

A novel structure of a linear recursive estimator minimizing the mean square error is derived for a system with a multiplicative noise in the measurement model. The conventional form of a recursive estimator (the new estimate is a linear combination of the new data and the previous estimate) is not appropriate for the above system. In contrast, according to presented form of estimator, the new estimate and the new innovation, which is recursively obtained by a linear combination of the new data, the previous data, and the previous innovation.<
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