Optimal Filtering for Correlated Noise
ResearchPublished 1966
The Kalman-Bucy theory of linear filtering for observations corrupted by white noise is extended to colored noise problems without state augmentation. By considering natural correlated case definitions of controllability and observability, the stability, steady-state existence, and uniqueness are shown to be consequences of the theory for the white noise filter.
Document Details
- Copyright: RAND Corporation
- Availability: Web Only
- Year: 1966
- Pages: 15
- DOI: https://doi.org/10.7249/pubs
- Document Number: RM-5107-PR
Citation
RAND Style Manual
Bucy, Richard S., Optimal Filtering for Correlated Noise, RAND Corporation, RM-5107-PR, 1966. As of July 10, 2026: https://www.rand.org/pubs/research_memoranda/RM5107.html
Chicago Manual of Style
Bucy, Richard S., Optimal Filtering for Correlated Noise. Santa Monica, CA: RAND Corporation, 1966. https://www.rand.org/pubs/research_memoranda/RM5107.html.
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