Explicit construction of the minimum error variance estimator for stochastic LTI state-space systems
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Abstract (arXiv)
In this short article, we showcase the derivation of the optimal (minimum error variance) estimator, when one part of the stochastic LTI system output is not measured but is able to be predicted from the measured system outputs. Similar derivations have been done before but not using state-space representation.
Key facts. No citing papers in the map yet (data through 7 Oct 2026). Builds on 2 of its 19 references that are in the map. First posted on arXiv 6 Sep 2021.
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References · 2
- 2015On the properties of variational approximations of Gibbs posteriorscited by 121
- 2021PAC-Bayesian theory for stochastic LTI systemscited by 6
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