Sobre la solución de una ecuación de evolución lineal estocástica regida por una martingala Hubert valuada.
On the effect of erroneous models on systems in presence of correlated disturbances and uncertain observations.
Filtering of signals transmitted in multichannel from Chandrasekhar and Riccati recursions.
In this paper two recursive algorithms are proposed and compared as a solution of the least mean-squared error linear filtering problem of a wide-sense stationary scalar signal from uncertain observations perturbed by white and coloured additive noises. Considering that the state-space model of the signal is not available and that the variables modelling the uncertainty are not independent, the proposed algorithms are derived by using covariance information. The difference between both algorithms...
Quadratic estimation from non-independent uncertain observations with coloured noise.
Recursive least-squares quadratic filtering and fixed-point smoothing algorithms for signal estimation from uncertain observations are derived when the uncertainty is modeled by not necessarily independent variables and the observations contain white plus coloured noise. The proposed estimators do not require the knowledge of the state-space of the model generating the signal, but only the moments, up to the fourth one, of the processes involved, along with the probability that the signal exists...
Filtering and fixed-point smoothing from an innovation approach in systems with uncertainty.
Unscented filtering from delayed observations with correlated noises.
A new estimation algorithm from measurements with multiple-step random delays and packet dropouts.
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