Linear minimum-mean-square error estimation of Markovian jump linear systems with Stochastic coefficient matrices

@inproceedings{Yang2014LinearME,
  title={Linear minimum-mean-square error estimation of Markovian jump linear systems with Stochastic coefficient matrices},
  author={Yanbo Yang and Yan Liang and Quan Pan and Yuemei Qin and Feng Yang},
  year={2014}
}
This study presents the state estimation problem of discrete-time Markovian jump linear systems with stochastic coefficient matrices which is motivated by the idea of establishing the general filter framework of the joint state estimation and data association in clutters for tracking the manoeuvering target. According to the orthogonality principle, the linear minimum-mean-square error estimator for this system (abbreviated as LMSCE estimator) is derived recursively and sufficient conditions… CONTINUE READING

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