A Qualitative Introduction to Linear Least square Estimation
S. Chirarattananon · Engineering and Applied Science Research · 2013
The filtering theor ies we discussed are us ually classified as linear r.ecursive estimation theory. Non-recursive estimation theory is in fact the forerunner of the estimation theory; dating back to the time of GaussKepler, etc . Present research however, focusses on the development of recursive estimation, as th is is the case where physical implementation is an a ttractive practical proposition. OUf di~.cussion has been concentrated upon the continuous-time filtering. In modern communication, however, most systems are more appropriately described as discrete - time model. The actual transmitted signals are often continuous-time. Sampling takes place at the receiving end and the signals are processed using both digital and ana log equipments. The estimate obtained from the discrete-time measurement sequence is given both as discrete-time and continuous-time. This estimation procedure is known as discrete-continuous filtering. This concept can also be applied to fixed-lag smoothing (15). The smoother obtained normally possesses the same stability property as that possessed by the Kalman-Bucy filter.