Digital Library of Zielona Góra contains 9 272 digital objects
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Title: D-step ahead Kalman predictor for controlled autoregressive processes with random coefficients
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Abstract:
This paper deals with prediction of controlled autoregressive processes with additive white Gaussian noise and random coefficients adapted to an observation process. Our aim is twofold. We begin by extending to the standard Kalman predictor a result of Chen et al. (1989) on the optimality of the "standard Kalman filter" when applied to linear stochastic processes with almost surely finite random coefficients. ; We then show on an example how some particular nonlinear autoregressive processes can be embedded in these linear processes with random coefficients. Such nonlinear processes can then benefit from this optimal prediction, which is not provided by the usual "extended Kalman predictor".
Publisher:
Zielona Góra: Uniwersytet Zielonogórski
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Pages:
Source:
AMCS, volume 9, number 1 (1999) ; click here to follow the link
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License CC BY 4.0:
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Biblioteka Uniwersytetu Zielonogórskiego
Object collections:
- Repository > Faculties > Faculty of Computer, Electrical and Control Engineering
- Repository > Types of work > Articles
- Repository > Scientific journals and UZ publishing series > International Journal of Applied Mathematics and Computer Science (AMCS) > International Journal of Applied Mathematics and Computer Science (AMCS) (1999)
Last modified:
Jul 14, 2025
In our library since:
Jan 19, 2021
Number of object content hits:
172
All available object's versions:
https://zbc.uz.zgora.pl/repozytorium/publication/64782
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| Edition name | Date |
|---|---|
| D-step ahead Kalman predictor for controlled autoregressive processes with random coefficients | Jul 14, 2025 |
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