Estimation for discrete non-linear time-delayed systems and measurements with correlated and coloured noise processes
DAVID F. LIANG, G. S. Christensen · International Journal of Control · 1978
Thia paper presents new filtering and smoothing algorithms for discrete non-linear time-delayed systems with multi-channel delayed measurement signals embedded in both the coloured noise sequence and the correlated message and measurement noise processes. The derivation assumes that the smoothing estimator introduces new data in a linear additive fashion and makes use of the matrix minimum principle to minimise the error variance cost functional. The numerical example simulated indicates that the two-stage estimation algorithm developed in this paper does not have the narrow bandwidth problem, this is due to the dynamics of its two-stage operation.