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Please use this identifier to cite or link to this item: http://hdl.handle.net/11129/2831

Title: On asymptotical behavior of solution of Riccati equation arising in linear filtering with shifted noises
Authors: Mazhar, Zeka
Bashirov, Agamirza E.
Eastern Mediterranean University, Faculty of Arts & Sciences, Department of Mathematics
Keywords: Engineering, Simulation and Modeling, Systems Theory
MATHEMATICAL
Issue Date: 2007
Publisher: Springer Netherlands
Abstract: In this paper we consider a linear signal system together with the two linear observation systems. The observation systems differ from each other by the noise processes. The noise of one of them is a constant shift in time of the signal noise. In the other one the shift is neglected. Respectively, we consider two best estimates of the signal corresponding to two different observation systems. The following problem is investigated: whether the effect of the shift on the best estimate becomes negligible as time increases. This leads to a comparison of the asymptotical behaviors of the solutions of respective Riccati equations. It is proved that under a certain relation between the parameters, the effect of the shift is not negligible.
Description: Due to copyright restrictions, the access to the publisher version (published version) of this article is only available via subscription. You may click URI and have access to the Publisher Version of this article through the publisher web site or online databases, if your Library or institution has subscription to the related journal or publication
URI: http://dx.doi.org/10.1007/978-1-4020-5678-9_10
http://hdl.handle.net/11129/2831
Appears in Collections:Book Chapters – Mathematics

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