1. Extension du filtre de Chandrasekhar au cas des modèles espace d'état périodiques
- Author
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Aknouche, Abdelhakim and Hamdi, Fayçal
- Subjects
- *
RECURSION theory , *STATE-space methods , *ANALYSIS of covariance , *ALGORITHMS , *LEAST squares - Abstract
Abstract: This Note extends the Chandrasekhar-type recursions due to Morf, Sidhu, and Kailath (1974) to the case of periodic time-varying state-space models. We show that the S-lagged increments of the one-step prediction error covariance satisfy certain recursions from which we derive some algorithms for linear least squares estimation for periodic state-space models. The proposed recursions have potential computational advantages over the Kalman Filter and, in particular, the periodic Riccati difference equation. To cite this article: A. Aknouche, F. Hamdi, C. R. Acad. Sci. Paris, Ser. I 346 (2008). [Copyright &y& Elsevier]
- Published
- 2008
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