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dc.contributor.authorKhodabandeh, A.
dc.contributor.authorTeunissen, Peter
dc.date.accessioned2017-01-30T13:51:42Z
dc.date.available2017-01-30T13:51:42Z
dc.date.created2014-09-18T20:00:20Z
dc.date.issued2014
dc.identifier.citationKhodabandeh, A. and Teunissen, P. 2014. A recursive linear MMSE filter for dynamic systems with unknown state vector means. International Journal on Geomathematics. 5 (1): pp. 17-31.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/35782
dc.identifier.doi10.1007/s13137-014-0058-0
dc.description.abstract

In this contribution we extend Kalman-filter theory by introducing a new recursive linear minimum mean squared error (MMSE) filter for dynamic systems with unknown state-vector means. The recursive filter enables the joint MMSE prediction and estimation of the random state vectors and their unknown means, respectively. We show how the new filter reduces to the Kalman-filter in case the state-vector means are known and we discuss the fundamentally different roles played by the initialization of the two filters.

dc.publisherSpringer
dc.subjectBest linear unbiased estimation (BLUE)
dc.subjectBLUE-BLUP recursion
dc.subjectMinimummean squared error (MMSE)
dc.subjectKalman filter
dc.subjectBest linear unbiased prediction (BLUP)
dc.titleA recursive linear MMSE filter for dynamic systems with unknown state vector means
dc.typeJournal Article
dcterms.source.volume5
dcterms.source.startPage17
dcterms.source.endPage31
dcterms.source.issn1869-2672
dcterms.source.titleInternational Journal on Geomathematics
curtin.note

The final publication is available at Springer via http://doi.org/10.1007/s13137-014-0058-0

curtin.departmentDepartment of Spatial Sciences
curtin.accessStatusOpen access


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