Development of new estimation algorithms by innovations analysis and shift-invariance properties (Corresp.)
Gagandeep Kaur Sidhu, T. Kailath · IEEE Transactions on Information Theory · 1974
It is shown how certain innovations decompositions can be used to obtain aa alternative derivation of some new estimating algorithms, based on Chandrasekhar-type equation. Such equations were originally obtained in radiative-transfer theory by using some invariance principles due to Ambartsumian and Chandrasekhar. Stationary processes have a natural shift invariance, but we show here how state-space descriptions can be used to bring out such invariances for nonstationary processes generated as the response to white noise of constant-parameter state-space models.