Estimation of random states in general linear models

An estimate, called the generalized Fisher estimate, is formulated, and it is shown how to calculate it without assuming invertibility of any of the matrices involved and with allowing the state vector to be random. The result subsumes all of the usual Fisher-type estimates as special cases. This problem was originally addressed by the author (Estimation, Control, and the Discrete Kalman Filter Springer-Verlag, NY, 1988) and an incorrect solution was given there; a correction to that result is provided.<
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