Geodesic
The Kalman filter in the case where exists correlation between noises of the plant and meter
Mathematica Applicanda, Tome 13 (1985) no. 26, pp. 93-117.

Voir la notice de l'article provenant de la source Annales Societatis Mathematicae Polonae Series

The paper is concerned with a problem of optimal linear filtering in the case where exists correlation between the noises w(k) of the plant and noises v(k) and v(k+1) of the meter. The algorithm obtained contains the classical Kalman's solution and its generalization given by Simkin [5]. The dual problem under these conditions is also considered.
DOI : 10.14708/ma.v13i26.1650
Classification : 93E11
Mots-clés : Filtering 
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Aleksandre Kowalski; Dominik Szynal. The Kalman filter in the case where exists correlation between noises of the plant and meter. Mathematica Applicanda, Tome 13 (1985) no. 26, pp.  93-117. doi : 10.14708/ma.v13i26.1650. http://geodesic.mathdoc.fr/articles/10.14708/ma.v13i26.1650/

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