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most citedPAC-Bayes Generalisation Bounds for Dynamical Systems Including Stable RNNs

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math.OC2021★ 2 cited

Explicit construction of the minimum error variance estimator for stochastic LTI state-space systems

Deividas Eringis, John Leth, Zheng-Hua Tan +2

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 t…