New design of estimators using covariance information with uncertain observations in linear discrete-time systems

This paper proposes recursive least-squares (RLS) filtering and fixed-point smoothing algorithms with uncertain observations in linear discrete-time stochastic systems. The estimators require the information of the auto-covariance function in the semi-degenerate kernel form, the variance of white observation noise, the observed value and the probability that the signal exists in the observed value. The auto-covariance function of the signal is factorized in terms of the observation vector, the system matrix and the cross-variance function of the state variable, that generates the signal, with the signal. These quantities are obtained from the auto-covariance data of the signal. It is shown that the semi-degenerate kernel is expressed in terms of these quantities.