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Farnoosh, R., Hajrajabi, A.. (1393). Hidden state estimation in the state space model with first-order autoregressive process noise. , 38(3.1), 321-327. doi: 10.22099/ijsts.2014.2429
R. Farnoosh; A. Hajrajabi. "Hidden state estimation in the state space model with first-order autoregressive process noise". , 38, 3.1, 1393, 321-327. doi: 10.22099/ijsts.2014.2429
Farnoosh, R., Hajrajabi, A.. (1393). 'Hidden state estimation in the state space model with first-order autoregressive process noise', , 38(3.1), pp. 321-327. doi: 10.22099/ijsts.2014.2429
Farnoosh, R., Hajrajabi, A.. Hidden state estimation in the state space model with first-order autoregressive process noise. , 1393; 38(3.1): 321-327. doi: 10.22099/ijsts.2014.2429

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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