Abstract
This note concerns the optimal estimation of the input and output sequences of linear time-invariant errors-in-variables (EIV) processes. An efficient recursive filtering algorithm is proposed. It is an innovation-based approach that relies on the triangular decomposition of block Toeplitz matrices. Unlike the other algorithms described in the literature, the proposed one is characterized by a computational complexity which increases only linearly with the order of the process. Both the SISO and MIMO cases are analyzed. An extension of the described algorithm to EIV models with colored input and output noises is considered as well.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
