3.3 Dynamic Constraints

In the previous section, the measurement model (3.2.1) contained time-varying variables c03-math-0265 which were independent of each other for different values c03-math-0266. In this section we considered the more complex case of dynamic dependency of the variable c03-math-0267 on the variable c03-math-0268.

Consider the discrete dynamic system

with the c03-math-0270-dimensional state vector c03-math-0271 and the c03-math-0272-dimensional observation vector c03-math-0273, connected to the state by the linear relationship

The matrices and have dimensions and ...

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