Optimal quadratic filtering of linear discrete-time non-Gaussian systems
Alberto De Santis, Alfredo Germani, Massimo Raimondi · IEEE Transactions on Automatic Control · 1995
In this work, the state estimation problem for linear discrete-time systems with non-Gaussian state and output noises is dealt with. By following a geometric approach, an optimal recursive second-order polynomial estimate is proposed, which actually improves the widely used optimal linear one.>