Optimal minimal-order least-squares estimators via the general two-stage Kalman filter
Chien‐Shu Hsieh, Fu-Chuang Chen · IEEE Transactions on Automatic Control · 2001
A direct derivation of the optimal minimal-order least squares estimator is presented using the general two-stage Kalman filter. Using this new result, the reduced-order estimators of O'Reilly (1982) and Fairman and Luk (1985) are readily shown to be equivalent. A practical implementation issue to consider these two estimators is also addressed.