Minimum variance prediction of linear time-varying systems



Publication Details

Z. Li, R. J. Evans & B. Wittenmark, "Minimum variance prediction of linear time-varying systems," Automatica, vol. 33, (4) pp. 607-618, 1997.


In this paper we study the problem of minimum variance prediction for linear time-varying systems. We consider the standard time-varying autoregression moving average (ARMA) model and develop a predictor which guarantees minimum variance prediction for a large class of linear time-varying systems. The predictor is developed based on a pseudocommutation technique for dealing with noncommutativity of linear time-varying operators in a transfer operator framework. We also show connections between this input-output predictor and the Kalman predictor via an example.

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