Recursive linear estimation for discrete time systems in the presence of different multiplicative observation noises

Carlos Sánchez-González () and Teresa M. García-Muñoz ()
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Carlos Sánchez-González: Department of Economic Theory and Economic History, University of Granada.

No 09/09, ThE Papers from Department of Economic Theory and Economic History of the University of Granada.

Abstract: This paper describes a design for a least mean square error estimator in discrete time systems where the components of the state vector, in measurement equation, are corrupted by different multiplicative noises in addition to observation noise. We show how known results can be considered a particular case of the algorithm stated in this paper

Keywords: State estimation; multiplicative noise; uncertain observations (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ltv
Date: 2009-11-27
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