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from Part I - Lectures on Basics with Examples
Published online by Cambridge University Press: 24 October 2024
The set of basic topics then continues with a major application domain of our theory: linear least-squares estimation (llse) of the state of an evolving system (aka Kalman filtering), which turns out to be an immediate application of the outer–inner factorization theory developed in Chapter 8. To complete this discussion, we also show how the theory extends naturally to cover the smoothing case (which is often considered “difficult”).
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