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TITLE: Continuous-time errors-in-variables filtering
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AUTHORS: Ivan Markovsky, Jan C. Willems, and B. De Moor
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ABSTRACT: We consider estimation problems for a continuous-time linear system with a state disturbance and additive errors on the input and the output. The problem formulation and the estimation principle are deterministic. The derived filter is identical to the stochastic Kalman filter. The problem formulation with additive error on both the input and the output, however, is more symmetric then the classical Kalman filter one and allows interpretation in terms of misfit and latent variables.
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STATUS: In Proc. of the Conference on Decision and Control (CDC 2002), Las Vegas, Nevada, Dec. 2002, pages 2576-2581.
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DATE OF ENTRY: 28 February 2002
@InProceedings{MWDM02,
author = {I. Markovsky and J. C. Willems and B. {De Moor}},
title = {Continuous-time errors-in-variables filtering},
booktitle = {Conference on Decision and Control},
pages = {2576--2581},
month = {Dec.},
year = {2002}
}