Periodic linear differential stochastic processes

Huibert Kwakernaak

Research output: Contribution to journalArticleAcademic

11 Citations (Scopus)
32 Downloads (Pure)

Abstract

Periodic linear differential processes are defined and their properties are analyzed. Equivalent representations are discussed, and the solutions of related optimal estimation problems are given. An extension is presented of Kailath and Geesey’s [1] results concerning the innovations representation of stochastic processes with a given covariance function.
Original languageEnglish
Pages (from-to)400-413
JournalSIAM journal on control and optimization
Volume13
Issue number2
DOIs
Publication statusPublished - 1975

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Optimal Estimation
Covariance Function
Random processes
Stochastic Processes
Innovation

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Kwakernaak, Huibert. / Periodic linear differential stochastic processes. In: SIAM journal on control and optimization. 1975 ; Vol. 13, No. 2. pp. 400-413.
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Periodic linear differential stochastic processes. / Kwakernaak, Huibert.

In: SIAM journal on control and optimization, Vol. 13, No. 2, 1975, p. 400-413.

Research output: Contribution to journalArticleAcademic

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T1 - Periodic linear differential stochastic processes

AU - Kwakernaak, Huibert

PY - 1975

Y1 - 1975

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AB - Periodic linear differential processes are defined and their properties are analyzed. Equivalent representations are discussed, and the solutions of related optimal estimation problems are given. An extension is presented of Kailath and Geesey’s [1] results concerning the innovations representation of stochastic processes with a given covariance function.

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DO - 10.1137/0313023

M3 - Article

VL - 13

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EP - 413

JO - SIAM journal on control and optimization

JF - SIAM journal on control and optimization

SN - 0363-0129

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