A new method of recursive estimation in discrete linear systems
R.L. Kashyap · IEEE Transactions on Automatic Control · 1970
Let the measurementz(i)at instantibe of formz(i) = y(i) + \eta(i)where\eta(i)is the noise andy(i)is the signal obeying a system of coupled linear difference equations. A method is given for computing the gains of the predictor and filter for the signaly(i)and the corresponding statex(i). The gains are computed recursively from the previous gains without involving the covariance matrix of the state. The computational advantages of the scheme are also discussed.