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Y. S. Shmaliy and S. Zhao, Optimal and Robust State Estimation: Finite Impulse Response (FIR) and Kalman Approaches, Wiley & Sons, 2022.

This is the first systematic investigation and description of convolution-based (FIR and IIR) state estimation (filtering, smoothing, and prediction) with practical algorithms. In this framework, the Bayesian Kalman filter serves as a recursive computational algorithm for batch optimal FIR and IIF filters. The unbiased FIR filter is shown to be the most robust among other linear estimators. Various robust approaches for disturbed and uncertain systems are also discussed.

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