The estimate of x based on N data points can then be made without reprocessing the first N, points. Their effect can be included simply by starting with pseudo observation which is equal to the estimate based on the first N points having a variance equal to the variance of the estimate based on N The same is true of the variance of the estimate based on N

一、项目评估和选择的方法 二、潜在的困难 三、资金分配 四、项目监测 五、事后审计

The quantity K2 is known as the Kalman gain. It is the optimum gain in the mean squared error sense. Substitute it into the expression for

If the system reaches a statistical steady state the covariance matrix would be constant. The system would have to be invariant

This means that in the cascade of Ho(s) with F(s), the effect of the RHP zero on the amplitude of the product is cancelled out, but the effect on the phase is not In fact, the phase lag due to the RHP zero is doubled in the product. Note:

Special case: [(P)] is rational: In this solution formula we can carry out the indicated integrations in literal form in the case in which [(P)] is rational. In our work, we deal in practical way only with rational,sn, and, so this function will be rational if D(p)is rational This will be true of every desired operation except predictor. Thus except in the case of prediction, the above

For the differential system characterized by its equations of state,specialization to invariance means that the system matrices A, B,C are constants

Note n, s enter the system at the same place F is fixed. We design(and perhaps B). We must stabilize F if it is given as unstable

Note that in the case of repeated roots of the denominator, a pole of multiple order contributes only a single residue. To evaluate F(s)ds by integrating around a closed contour enclosing the entire left half plane, note that if F()0 faster than-for large s, the integral along the curved part of the contour is zero

Prof vander Velde Use error between early and late indicator to lock onto signal. Error is a linear function of shift, within the range (-T,T) Return to the 1 st example process and take the case where the change points are Poisson distributed