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In this paper, we consider the problem of predicting observations generated online by an unknown, partially observed linear system, which is driven by stochastic noise.
A new approach to linear filtering and prediction problems
Rudolph Emil Kalman · 1960
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Raman Mehra · 1970
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Lennart Ljung · 1978
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Andrew C Harvey · 1990
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Dietmar Bauer, Manfred Deistler, and Wolfgang Scherrer · 1999
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Torben Knudsen · 2001
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Yasin Abbasi-Yadkori and Csaba Szepesvári · 2011
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High-dimensional probability: An introduction with applications in data science , volume 47
Roman Vershynin · 2018
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