Kalman-Bucy Filters with Singular Correlated Noises
M.M. Hadiji, Mahmoud Edwin Sawan · 1989
This paper presents a solution to the singular linear minimum-vaviance estimation problem in the discrete time case. An expression for the transfer function of the Kalman-Bucy filter with nonsingular correlated noises is derived using the spectral factorization in the zdomain. The case of singular correlated noises is then handled as a special case.