/spl Hscr//sub /spl infin// estimation problems in discrete-time via J-spectral factorization | IEEE Conference Publication | IEEE Xplore

/spl Hscr//sub /spl infin// estimation problems in discrete-time via J-spectral factorization


Abstract:

In this paper, the /spl Hscr//sub /spl infin// estimation problem for discrete-time linear time-invariant systems is considered. We propose a new technique based on J-spe...Show More

Abstract:

In this paper, the /spl Hscr//sub /spl infin// estimation problem for discrete-time linear time-invariant systems is considered. We propose a new technique based on J-spectral factorization. It allows one to treat filtering, prediction and smoothing problems in a unifying framework and does not require the assumption of system stability. The main advantage of the proposed technique is that, for smoothing and prediction problems, the state-space dimension, and hence the complexity of the method, is the same as for the filtering problem.
Date of Conference: 04-07 December 2001
Date Added to IEEE Xplore: 07 August 2002
Print ISBN:0-7803-7061-9
Conference Location: Orlando, FL, USA