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Recursive linear estimation for discrete time systems in the presence of different multiplicative observation noises

Author

Listed:
  • Carlos Sánchez-González

    () (Department of Economic Theory and Economic History, University of Granada.)

  • Tere M. García-Muñoz

    () (Department of Economic Theory and Economic History, University of Granada.)

Abstract

This paper describes a design for a least mean square error estimator in discrete time systems where the components of the state vector, in measurement equation, are corrupted by different multiplicative noises in addition to observation noise. We show how known results can be considered a particular case of the algorithm stated in this paper

Suggested Citation

  • Carlos Sánchez-González & Tere M. García-Muñoz, 2009. "Recursive linear estimation for discrete time systems in the presence of different multiplicative observation noises," ThE Papers 09/09, Department of Economic Theory and Economic History of the University of Granada..
  • Handle: RePEc:gra:wpaper:09/09
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    File URL: http://www.ugr.es/~teoriahe/RePEc/gra/wpaper/thepapers09_09.pdf
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    Keywords

    State estimation; multiplicative noise; uncertain observations;

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