Approximation Approach To Linear Filtering Problem With Correlated Noise
Hong Son Hoang, Rémy Baraille · Zenodo (CERN European Organization for Nuclear Research) · 2011
The (sub)-optimal soolution of linear filtering problem with correlated noises is considered. The special recursive form of the class of filters and criteria for selecting the best estimator are the essential elements of the design method. The properties of the proposed filter are studied. In particular, for Markovian observation noise, the approximate filter becomes an optimal Gevers-Kailath filter subject to a special choice of the parameter in the class of given linear recursive filters.