Optimal Prediction of Unmeasured Output from Measurable Outputs In LTI Systems

Deividas Eringis, John Leth, Zheng-Hua Tan, Rafal Wisniewski, Mihály Petreczky

Abstract: In this short article, we showcase the derivation of the optimal (minimum error variance) estimator, when one part of the stochastic LTI system output is not measured but is able to be predicted from the measured system outputs. Similar derivations have been done before but not using state-space representation.