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

  • 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.)

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

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Paper provided by Department of Economic Theory and Economic History of the University of Granada. in its series ThE Papers with number 09/09.

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Length: 14 pages
Date of creation: 27 Nov 2009
Date of revision:
Handle: RePEc:gra:wpaper:09/09
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