ON THE LINEAR LEAST-SQUARE PREDICTION PROBLEM

R. M. Fernández-Alcalá, J. Navarro-Moreno, J. C. Ruiz-Molina, M. D. Estudillo

Abstract

An efficient algorithm is derived for the recursive computation of the filtering and all types of linear least-square prediction estimates (fixed-point, fixed-interval, and fixed-lead predictors) of a nonstationary signal vector. It is assumed that the signal is observed in the presence of an additive white noise which can be correlated with the signal. The methodology employed only requires that the covariance functions involved are factorizable kernels and then it is applicable without the assumption that the signal verifies a state-space model.

References

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Paper Citation


in Harvard Style

M. Fernández-Alcalá R., Navarro-Moreno J., C. Ruiz-Molina J. and D. Estudillo M. (2005). ON THE LINEAR LEAST-SQUARE PREDICTION PROBLEM . In Proceedings of the Second International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO, ISBN 972-8865-31-7, pages 332-335. DOI: 10.5220/0001160303320335


in Bibtex Style

@conference{icinco05,
author={R. M. Fernández-Alcalá and J. Navarro-Moreno and J. C. Ruiz-Molina and M. D. Estudillo},
title={ON THE LINEAR LEAST-SQUARE PREDICTION PROBLEM},
booktitle={Proceedings of the Second International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO,},
year={2005},
pages={332-335},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0001160303320335},
isbn={972-8865-31-7},
}


in EndNote Style

TY - CONF
JO - Proceedings of the Second International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO,
TI - ON THE LINEAR LEAST-SQUARE PREDICTION PROBLEM
SN - 972-8865-31-7
AU - M. Fernández-Alcalá R.
AU - Navarro-Moreno J.
AU - C. Ruiz-Molina J.
AU - D. Estudillo M.
PY - 2005
SP - 332
EP - 335
DO - 10.5220/0001160303320335