On Singular Perturbations in Linear Filtering and Smoothing.
ILLINOIS UNIV AT URBANA-CHAMPAIGN COORDINATED SCIENCE LAB
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In this paper a unified treatment of the singular perturbation problem in linear filtering and smoothing is presented. If only the slow modes are of interest, then the reduced system solution is an approximation to the exact solution in the interior of the observation interval provided the fast subsystem is either stable, or stabilizable. If also an approximation of the fast modes is of interest, then a stretched time scale is used. Author
- Statistics and Probability