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A quasi-linear estimation method--Application to Kalman filtering with stochastic regressors

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1 Author(s)
Ruskeepaa, H. ; University of Turku, Turku, Finland

An estimation method, called quasi-linear estimation, is presented. Quasi-linear estimation is aimed to give an intermediate possibility between linear and nonlinear estimation. A quasi-linear estimator of a parameter vector a given two observation vectorsyandzis defined to be of the formp + Qy, where the vectorpand the matrixQaresigma(z)-measurable. Orthogonal projections are used to derive the quasi-linear minimum mean square error estimator. This estimator isE(a|z) + C(a, y|z)V(y|z)-[y- E(y|z)]. Quasi-linear estimation is applied to derive a Kalman type filter for discrete-time dynamic linear models with stochastic regressors.

Published in:

Automatic Control, IEEE Transactions on  (Volume:30 ,  Issue: 8 )

Date of Publication:

Aug 1985

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