Linear recursive discrete-time estimators using covariance information under uncertain observations

This paper, using the covariance information, proposes recursive least-squares (RLS) filtering and fixed-point smoothing algorithms with uncertain observations in linear discrete-time stochastic systems. The observation equation is given by y( k)= γ( k) Hx( k)+ v( k), where { γ( k)} is a binary swit...

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