RLS Wiener Predictor with Uncertain Observations in Linear Discrete-Time Stochastic Systems

Seiichi Nakamori, Raquel Caballero-Águila, Aurora Hermoso-Carazo, Josefa Linares-Pérez
2011 Journal of Signal and Information Processing  
This paper proposes recursive least-squares (RLS) l-step ahead predictor and filtering algorithms with uncertain observations in linear discrete-time stochastic systems. The observation equation is given by
doi:10.4236/jsip.2011.23019 fatcat:qpv5ohe255glnalwtawgnfwpaa