The optimal conditions for two-stage Kalman estimator with random bias of anARMA model is considered in this paper.First,the optimal augmented state Kalman fil-ter and the two-stage Kalman estimator are given.Second,u...The optimal conditions for two-stage Kalman estimator with random bias of anARMA model is considered in this paper.First,the optimal augmented state Kalman fil-ter and the two-stage Kalman estimator are given.Second,under an algebraic constraint,the equivalence between the two-stage Kalman estimator and the optimal augmented stateKalman filter is proved.Finally,because the given algebraic constraint are restrictive inpractice,the results thus obtained implies that two-stage Kalman estimator is suboptimal.展开更多
文摘The optimal conditions for two-stage Kalman estimator with random bias of anARMA model is considered in this paper.First,the optimal augmented state Kalman fil-ter and the two-stage Kalman estimator are given.Second,under an algebraic constraint,the equivalence between the two-stage Kalman estimator and the optimal augmented stateKalman filter is proved.Finally,because the given algebraic constraint are restrictive inpractice,the results thus obtained implies that two-stage Kalman estimator is suboptimal.