On Kalman filtering for 2-D Fornasini-Marchesini models

Abstract

This paper deals with the problem of signal estimation for two-dimensional systems. More specifically, we propose a Kalman filter for 2-D systems in Fornasini-Marchesini model, without pre-imposing its structure. It will be shown that the filter thus obtained is not in a Fornasini-Marchesini form, but it still has a recursive structure.