Recursive estimation algorithm based on covariances for uncertainly observed signals correlated with noise
The least-squares linear filtering and fixed-point smoothing problems of uncertainly observed signals are considered when the signal and the observation additive noise are correlated at any sampling time. Recursive algorithms, based on an innovation approach, are proposed without requiring the knowledge of the state-space model generating the signal, but only the autocovariance and crosscovariance functions of the signal and the observation white noise, as well as the probability that the signal exists in the observations.
least-squares estimation uncertain observations signal-noise correlation covariance information