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Hidden state estimation in the state space model with first-order autoregressive process noise | ||
| Iranian Journal of Science | ||
| مقاله 4، دوره 38، شماره 3.1، دی 2014، صفحه 321-327 اصل مقاله (194.2 K) | ||
| نوع مقاله: Regular Paper | ||
| شناسه دیجیتال (DOI): 10.22099/ijsts.2014.2429 | ||
| نویسندگان | ||
| R. Farnoosh* 1؛ A. Hajrajabi2 | ||
| 1Department of Applied Mathematics, Faculty of Mathematics, Iran University of Science and Technology, Narmak, Tehran 16844, Iran | ||
| 2Department of Applied Mathematics, Faculty of Mathematics, Iran University of Science and Technology, Narmak, Tehran 16844, Iran | ||
| چکیده | ||
| In this article, the discrete time state space model with first-order autoregressive dependent process noise is considered and the recursive method for filtering, prediction and smoothing of the hidden state from the noisy observation is designed. The explicit solution is obtained for the hidden state estimation problem. Finally, in a simulation study, the performance of the designed method for discrete time state space model with dependent process noise is verified. | ||
| کلیدواژهها | ||
| State space model؛ dependent process noise؛ estimation of the hidden state؛ estimation of the error covariance | ||
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