Estimation in linear delayed discrete-time systems with correlated state and measurement noises
B. Rao, Α.Κ. Mahalanabis · IEEE Transactions on Automatic Control · 1971
Equations are derived here for the state estimate and the error covariance of a linear system with time delay under the assumption that the noise sequences entering the state and observation equations are correlated. The case of a single-process time delay is considered for convenience and the estimation criterion is taken to be the minimization of the error variance.