Abstract
This paper investigates the estimation problem for stochastic systems with measurement delays and auto-correlated noises where the multiplicative noises are zero-mean white noise sequences, and the no-white additive noise is time-correlated noise which can be described by a linear system model. Different from the argument method and partial difference equation approach, the optimal linear state estimator for the systems under consideration is proposed based on the measurement difference and reorganized innovation approaches.
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