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Optimal fixed lag smoothing for time delayed system with colored noise
The aim of this note is to report an algorithm for the fixed lag smoothing problem of a time delayed system whose observations contain colored noise. This is derived by looking at the appropriate components of a filtering ...
Least-squares state estimation in time-delay systems with colored observation noise: An innovations approach
the method of innovations approach has been applied to develop an algorithm for the least-squares state estimation of a non-stationary linear discrete system with multiple time-delays, based on observations involving ...