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Restricted structure optimal linear pseudo-state filtering for discrete-time systems

Grimble, M.J. (2001) Restricted structure optimal linear pseudo-state filtering for discrete-time systems. IEEE Transactions on Signal Processing, 49 (11). pp. 2522-2535. ISSN 1053-587X

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Abstract

A new class of discrete-time optimal linear estimators is introduced that minimizes estimation error variance criterion but where the structure is pre-specified to have a relatively simple form.