Innovation (signal processing)
In
Kolmogorov.[2]
In contrast, the residual is the difference between the observed value of a variable at time t and the optimal updated state of that value based on information available till (including) time t.
See also
- Kalman filter
- Filtering problem (stochastic processes)
- Errors and residuals in statistics
- Innovation butterfly
References
- ISBN 0-7803-0434-9
- ^ Mitter, S. K. (1982). Nonlinear filtering of diffusion processes a guided tour. In Advances in Filtering and Optimal Stochastic Control (pp. 256-266). Springer, Berlin, Heidelberg.
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