Accession Number:

ADA050303

Title:

A Modified Displacement Rank and Some Applications.

Descriptive Note:

Interim rept.,

Corporate Author:

STANFORD UNIV CALIF DEPT OF ELECTRICAL ENGINEERING

Personal Author(s):

Report Date:

1977-12-01

Pagination or Media Count:

6.0

Abstract:

Recursive Algorithms for linear least squares estimation problems have been based mainly on state-space models. Recently, some new recursive solutions were obtained for processes classified in terms of their index of nonstationarity or equivalently--the displacement rank of their covariance functions. While this definition provides a natural explanation of the properties of constant-coefficient state-space models, it is not satisfactory for time-variant models. However a modified definition of the displacement rank makes it possible to imbed time-varying state-space models in the more general input-output framework. In so doing, one is able to show the mutual relationships of the Kalman filter Riccati equation, the time-varying Chandrasekhar equations and the Krein-Levinson equations.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE