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Explicit construction of the minimum error variance estimator for stochastic LTI state-space systems. (arXiv:2109.02384v2 [math.OC] UPDATED)
cs.LG updates on arXiv.org arxiv.org
In this short article, we showcase the derivation of the optimal (minimum
error variance) estimator, when one part of the stochastic LTI system output is
not measured but is able to be predicted from the measured system outputs.
Similar derivations have been done before but not using state-space