Linear estimation for discrete-time systems in the presence of time-correlated disturbances and uncertain observations
A. Hermoso‐Carazo, J. Linares‐Pérez · IEEE Transactions on Automatic Control · 1994
This note considers optimum linear recursive estimation for linear discrete-time systems with uncertain observations in cases where state and measurement noises are correlated. The different kinds of estimation problems treated include one-stage prediction and filtering.>