Applied Mathematics and Computation 156 (2004) 211233 www.elsevier.

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Linear estimation for discrete systems with uncertain observations: an application to the correction of declared incomes in inquiry
~oz C. S anchez Gonz alez *, T.M. Garc a Mun
Department of Quantitative Methods in Economics and Business, Granada University, E-18011 Granada, Spain

Abstract A new algorithm is derived for estimating the state of discrete systems with uncertain observations in which the state and measurement noises are correlated on a nite time interval. At the moment, the estimation problem of signals in systems with uncertain observations is seen as important research topic in the area of the detection and estimation of problems for communication systems. In this paper we propose an application in the economic eld, specically, we assume that declared incomes obtained through inquiry can be corrected using the new estimation algorithm presented in this paper. 2003 Elsevier Inc. All rights reserved.
Keywords: Kalman ltering; Uncertain observations; Income inquiry

1. Introduction The problem estimation of a signal whose behaviour is described through a state space model has been extensively treated in the literature. The most

micas y Empresariales, Campus Corresponding author. Address: Facultad de CC. Econo Universitario de Cartuja, s/n. 18011 Granada, Spain. E-mail addresses: csanchez@ugr.es (C. S anchez Gonz alez), tgarciam@ugr.es (T.M. Garc a ~oz). Mun 0096-3003/$ - see front matter 2003 Elsevier Inc. All rights reserved. doi:10.1016/j.amc.2003.07.029

212 C. S anchez Gonz alez, T.M. Garc a Mu~ noz / Appl. Math. Comput. 156 (2004) 211233

famous result is, undoubtedly, the Kalman lter [1]. Kalman deduced this algorithm under the hypothesis that the state and measurement noises are white and uncorrelated. Due to the restrictive character of these hypotheses it is necessary to study the most general events, such as when the noises are not white [2,3] or without the independent hypothesis between both noises [4,5]. In all of these investigations, the estimated signal is always part of the available observations for its estimation. However, in many practice situations some observations do not contain the signal and consist, only, of noise. In these cases, the systems are called systems with uncertain observations. For this type of system, Nahi [6] deduced the recursive least-square estimation technique for the state variable. In this work, he considers that the additive state and measurement noises are white sequences and uncorrelated. Hermoso and Linares [7] have generalized this work supposing that the state and measurement noises are correlated in consecutive time lags. In this paper we consider the extension of Hermoso and Linares work including systems in which the state and measurement noises are correlated on a nite time interval. Making use of the orthogonal projection technique, we derive a recursive algorithm for the least mean squared error (LMSE) linear ltering and prediction problems. At the moment, the estimation problem of signals in systems with uncertain observations is seen as important research in the area of the detection and estimation of problems for communication systems. In this paper we propose an application in the economic area. Specically, that declared incomes obtained through inquiry are corrected using a state space model with uncertain observations. The rst diculty that the economists face in the study of the income distribution of a country is the available information for it. In Spain, the election of the information proceeding from the inquiry of family budgets for the study of the personal distribution of the revenue is justied, among others things, for the simplicity of its sample units: families whose composition is known. In some works, like Pena [8], observations of the Basic Inquiry of Family Budgets [9] have been used. This investigation shows large discrepancies between the deduced incomes from the information originated in these surveys and the data of reference deduced from the National Accounts. For it, they establish the problem to correct the personal distribution of incomes deduced from the surveys, in order to obtain another that could be congruent with the aggregates that nally have been deduced for the total revenues obtained from the National Accounting of Spain. The above mentioned correction is carried out under the hypothesis that all families hide part of their incomes. Keeping in mind that this assumption is perhaps unrealistic, in this paper we retake the problem of correction of the personal distribution of incomes of the families. We model the relationships between hidden, declared and real incomes using a state space model with uncertain observations, where state and measurement noises are correlated at the same time instant. This is a particular case of that estimation algorithm presented in the paper.

C. S anchez Gonz alez, T.M. Garc a Mu~ noz / Appl. Math. Comput. 156 (2004) 211233 213

In the second section, the problem is stated and the notation used in the article is introduced. The algorithm that solves the problem is presented in the third section. In the fourth section, a method to correct the declared incomes deduced from enquires is obtained. To know about the behaviour of this procedure, two programs with Mathematica have been prepared in order to compare the correction method used in Pena [8] and ours. Results are given in Section 5.

2. Problem statement and notation Let the following linear discrete-time dynamic system with n 1 state vector xk and m 1 observation vector zk be given by xk 1 Uk 1; k xk Ck 1; k xk ; x0 x0 ; zk ck H k xk vk ; k P 0; k P 0;

where Uk 1; k , Ck 1; k and H k are known matrices of appropriate dimensions; fxk g and fvk g are white sequences with zero mean and Exk xT l Qk dkl , Evk vT l Rk dkl and Exk vT l T k ; l where T k ; l 0 for l k < s or l k > t, with s 1; 0; 1; . . ., t 0; 1; . . ., and s; t are known (d denotes the Kronecker function); x0 is a random vector with zero mean and covariance P 0; fck g is an independent sequence of Bernoulli random variables with P ck 1 pk . It is assumed that x0 is independent of fxk g, fvk g and fck g, and fck g is independent of fxk g and fvk g. ^ k =l and v ^k =l be the LMSE estimates of xk , xk and vk , ^k =l, x Let x respectively, given the observations z0; . . . ; zl. The estimation error is noted by ex k =l, ex k =l and ev k =l. By P k =l Eex k =leT x k =l and by Py s k ; l=j Eey k =jeT l = j we mean the covariance and crossed covariance s matrices, where fy k g and fsk g can be, without distinction, fxk g, fxk g and fvk g. The LMSE linear lter and one-step predictor of the state xk are presented in Section 3.

3. Filter and prediction algorithm Theorem 1. The lter and predictor of the state are given by ^ k =k ; ^k 1=k Uk 1; k x ^k =k Ck 1; k x x ^0= 1 0; x k P 0;

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^k =k 1; ^k =k x ^k =k 1 F k zk pk H k x ^k =k 1 v x k P 0; where the lter gain matrix veries

T F k pk P k =k 1H T k Pvx k ; k =k 1P1 k

being Pk pk 1 pk H k S k H T k p2 k H k P k =k 1H T k
T pk H k Pvx k ; k =k 1 pk Pvx k ; k =k 1H T k Pvv k ; k =k 1; k P 0

with S k Uk ; k 1S k 1UT k ; k 1 Ck ; k 1Qk 1CT k ; k 1; k > 0; S 0 P 0: The lter and prediction error covariance matrices satisfy
T P k 1=k Uk 1; k P k =k UT k 1; k Uk 1; k Px x k ; k =k T T C k 1=k Ck 1=k Pxx k ; k =k U k 1; k Ck 1=k Pxx k ; k =k CT k 1; k ; k P 0;

P 0= 1 P 0 ; P k =k P k =k 1 F k Pk F T k ; k P 0:

The proof of this theorem is left in Appendix A. As it can be seen, state ^ k =k and v ^k =k 1, and the error covariance matrices estimates depend on x and Pk depend on Pxx k ; k =k , Pvv k ; k =k 1, Pvx k ; k =k 1 and Pxx k ; k = k 1, and their expressions are given in Theorems 2 and 3, respectively. Note. The existence of the inverses of Pk , for k P 0, is not insured under the hypothesis of the system. If those do not exist, it will be used the corresponding pseudoinverses [10]. Theorem 2 ^ k =k 0. (a) If s 1: x ^ k =k can be determined according to: If s > 1: x ^ k = l x ^ k = l 1 F x k ; l d l ; x maxf0; k sg 6 l 6 k

^ k = maxf0; k sg 1 0, where with the initial condition x Fx k ; l plPxx k ; l=l 1H T l Pxv k ; l=l 1P1 l:

C. S anchez Gonz alez, T.M. Garc a Mu~ noz / Appl. Math. Comput. 156 (2004) 211233 215

^k =k 1 0. (b) If t 6 1: v ^k =k 1 is obtained through: If t > 1: v ^k =l v ^k =l 1 Fv k ; ldl; v maxf0; k t 1g 6 l 6 k 1

^k = maxf0; k t 1g 1 0, where with initial condition v Fv k ; l plPvx k ; l=l 1H T l Pvv k ; l=l 1P1 l:

Proof of this theorem is shown in Appendix B. In Theorem 3, the expressions of the co-variance and cross-covariance matrices are obtained. The proof is similar to that in Theorem 1 for the state error covariance matrices. Theorem 3 (a) If s 1: Pxx k ; k =k Qk . If s > 1: Pxx k ; k =k is determined by the expression:
T Pxx k ; k =l Pxx k ; k =l 1 Fx k ; lPlFx k ; l;

maxf0; k sg 6 l 6 k with the initial condition Pxx k ; k = maxf0; k sg 1 Qk . (b) If t 6 1: Pvv k ; k =k 1 Rk . If t > 1: Pvv k ; k =k 1 is obtained through: Pvv k ; k =l Pvv k ; k =l 1 Fv k ; lPlFvT k ; l; maxf0; k t 1g 6 l 6 k 1 with initial condition Pvv k ; k = maxf0; k t 1g 1 Rk . (c) If s 1: Pxx k ; k =k 0. If s > 1: Pxx k ; k =k is determined by the expression: Pxx k ; l=l Pxx k ; l=l 1 Fx k ; lPlF T l;
Pxx k ; l=l 1 Pxx k ; l 1=l 1UT l; l 1 Pxx k ; l 1=l 1CT l; l 1; maxf0; k sg < l 6 k

maxf0; k sg 6 l 6 k ;

with initial condition Pxx k ; maxf0; k sg= maxf0; k sg 1 0. (d) If t 0: Pvx k ; k =k 1 0. If t 1: Pvx k ; k =k 1 T T k 1; k CT k ; k 1. If t > 1: Pvx k ; k =k 1 is obtained by the expression:
Pvx k ; l=l 1 Pvx k ; l 1=l 2UT l; l 1 Pvx k ; l 1=l 1 CT l; l 1 Fv k ; l 1Pl 1F T l 1UT l; l 1; maxf0; k t 1g 6 l 6 k

with initial condition

216 C. S anchez Gonz alez, T.M. Garc a Mu~ noz / Appl. Math. Comput. 156 (2004) 211233

Pvx k ; maxf0; k t 1g= maxf0; k t 1g 1  0; k t 1 6 0; T T k t; k CT k t 1; k t; k t 1 > 0: (e) Pxx k ; l=l; maxf0; k sg 6 l 6 k 1, is determined by the expression:
T Pxx k ; l=j Pxx k ; l=j 1 Fx k ; jPjFx l; j ;

maxf0; k sg 6 j 6 l with initial condition Pxx k ; l= maxf0; k sg 1 0. (f) If s 1: Pvx k ; l=l T T l; k ; maxf0; k t 1g 6 l 6 k 1. If s > 1: Pvx k ; l=l; maxf0; k t 1g 6 l 6 k 1 is determined by the expression:
T Pvx k ; l=j Pvx k ; l=j 1 Fv k ; jPjFx l; j ;

maxf0; k t 1; l sg 6 j 6 l with initial condition Pvx k ; l= maxf0; k t 1; l sg 1 T T l; k : (g) If t 6 1 or s 0: Pxv k ; l=l 1 T k ; l; maxf0; k sg 6 l 6 k . If t > 1 and s > 0: Pxv k ; l=l 1; maxf0; k sg 6 l 6 k is determined by Pxv k ; l=j Pxv k ; l=j 1 Fx k ; jPjFvT l; j; maxf0; k s; l t 1g 6 j 6 l 1 with initial condition Pxv k ; l= maxf0; k s; l t 1g 1 T k ; l. (h) Pvv k ; l=l 1; maxf0; k t 1g 6 l 6 k 1, is determined by the expression Pvv k ; l=j Pvv k ; l=j 1 Fv k ; jPjFvT l; j; maxf0; k t 1g 6 j 6 l 1 with initial condition Pvv k ; l= maxf0; k t 1g 1 0.

4. Correction of declared incomes in enquires As we have mentioned before, Spanish information about the income distribution is obtained from the inquiry of family budgets. Penas research [8] shows large discrepancies between incomes deduced from the corrected information originated from these surveys and data of reference deduced from National Accounting. In dealing with this fact, they focused on the problem of correcting the personal distribution of income deduced from surveys. The correction of the originally declared information is developed in two stages:

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Firstly, they eliminate the concealment that aects to the total sum of income in each one of the considered categories: Autonomous Communities, Associate Professional Status and Types of Habitat. During this stage, and by means of an index, they lead the results of the surveys on income to a similar quality to that of the expenses and, in this manner, it is possible to know the total concealed income in each of the groups. Later, in each one of the categories, they correct the personal distribution of the incomes of the families. This last task is carried out under the hypothesis that all of the families hide part of their incomes. Taking into account that this supposition is perhaps unrealistic, in this way we recapture the problem of correction of the personal income distribution of the families. This correction is carried out using the proceeding information from Regional Accounting. Our work begins once the concealment that aects the total sum of income in every Autonomous Community is eliminated, like in Penas investigation [8]. At this point, we correct the personal distribution of income of the families without establishing that all families lie concerning their income. Then we model the relationships between hidden, declared and real incomes by means of a state space model with uncertain observations. Subsequently, the relationship between declared, hidden and real incomes of n families belonging to a specic autonomous community is expressed in a state space model. We can then begin to obtain the state equation, ranking according to their declared incomes, from lower to higher ones. The index k , in this case, indicates the position in the above arrangement. We use the following notation: DI k ! declared incomes; HI k ! hidden incomes; RI k ! real incomes: We suppose that the hidden income of the k -family is proportional to its real income, HI k bRI k , and then, the dierence between hidden incomes by two consecutive families is given by HI k HI k 1 bRI k RI k 1 HI k HI k 1 bRI k RI k 1: In order the state noise to be a white sequence, we rewrite the last equation        b 1 b HI k 1 HI k RI k : 0 0 RI k 1 1 RI k

218 C. S anchez Gonz alez, T.M. Garc a Mu~ noz / Appl. Math. Comput. 156 (2004) 211233

We denote by MR the real income mean for this Autonomous Community, which will  be estimated from the Regional Accounting. Adding and reducing b the term MR, the state equation remains: 1       1 b b b xk x k 1 xk MR; 0 0 1 1 where  xk :  HI k ; RI k

xk : RI k MR being fxk g a white noise sequence with zero mean and variance q 2 Ex2 k ERI k MR . We now obtain the observation equation. Under the hypothesis that not all of the families lie, the declared incomes are given by DI k RI k ck HI k ; where  ck 1; 0; the k family hides part of its income the k family does not hide part of its income

and we assume the probability that the families will hide income in that class, p, is constant and known. Keeping in mind the denition of the state, this equation is re-written as DI k ck 1 0 xk RI k :

Reducing in both terms MR and, denoting by zk : DI k MR, the observation equation is zk ck 1 0 x k x k :

Summarizing, the state space model that describes our system is       1 b b b xk x k 1 xk MR; 0 0 1 1 zk ck 1 0 x k x k :

As it can be noticed, this model is a particular case of the system considered in Section 2 (s t 0). The state estimation algorithm for this model is as follows.

C. S anchez Gonz alez, T.M. Garc a Mu~ noz / Appl. Math. Comput. 156 (2004) 211233 219

4.1. Algorithm of state estimation The lter and the predictor of the state are given by     1 b b ^k 1=k ^k =k x x qP1 k zk 0 0 1   b ^k =k 1 p 1 0 x MR; k P 0; 1 ^0= 1 0; x ^k =k 1; k P 0; 0 x   1 where the gain lter matrix veries F k pP k =k 1 P1 k being 0 ! ! 1 1 2 Pk p1 p 1 0 S k p 1 0 P k =k 1 q; 0 0
kP0

^k =k x ^k =k 1 F k zk p 1 x

with  S k 1 0   b 1 S k 1 0 b 0 0    b b 1 1 q; k > 0;

S 0 P 0 Ex0xT 0: The lter and predictor error covariance matrices satisfy ! ! ! 1 b 1 0 1 b P k 1=k P k =k F k q b 0 0 b 0 0 0 ! ! 1 0 b qF T k b 0 1 ! b q q2 P1 k b 1 ; k P 0; 1 P 0= 1 P 0 ; P k =k P k =k 1 F k Pk F T k ; k P 0:

For the implementation of the algorithm is necessary to know the system parameters, and these can be stated as follows: Since we consider that the real incomes are obtained through the regional accounting, it is possible to know approximately its rank value. Therefore, the state noise variance is estimated by

220 C. S anchez Gonz alez, T.M. Garc a Mu~ noz / Appl. Math. Comput. 156 (2004) 211233

 ^ q

Rank of the real incomes 4

2 :

Recall that p as the probability that the families of a class hide part of their incomes. For this probability, we can assume a predetermined value or we can resort to scal studies about empirical evidence regarding this problem. b is estimated of the following way. As the real income of the k family is RI k DI k ck HI k DI k ck bRI k ; ^ 1 RD. in average terms, R D pbR and b p R T To know P 0 Ex0x 0, we will suppose that families with less income do not lie, then:     0 0 0 ^0 P 0 DI 0 : DI 0 0 DI 2 0

5. Results In order to compare the new algorithm behaviour, this is compared with one of the used by Pena [8] to correct the declared incomes in the Autonomous Communities. The method is as follows: In a particular Autonomous Community, the total amount of hidden income is H . The problem is to nd the amount hidden by a particular family. In Penas research [8], it is considered that the hidden quantity is HI k aDI k where a is a constant occultation rate. P Since the total hidden quantity by all Autonomous Community families is Aut: Comun: HI k H , then H X
Aut: Comun:

aDI k a

X
Aut: Comun:

^P DI k ) a

H
Aut: Comun:

DI k

e k of the and therefore, the corrected quantity, that is, the real income R k -family is   H e R k DI k HI k DI k 1 P : Aut: Comun: DI k In this procedure, it is supposed that all families have hidden income. b k denote the k -family real income assigned by our estimation Let R e k and R b k allows us to detect the families who method. The comparison of R are not lying. As p is the probability that the families of the autonomous e k R b k community hide part of their income, R is the sample mean of the R observations and VR is its sample variance, and by Tchebyshevs inequality, if

C. S anchez Gonz alez, T.M. Garc a Mu~ noz / Appl. Math. Comput. 156 (2004) 211233 221

1 p e k R b k R j > p VR j R 1p then, the k -family does not hide its income and RI k DI k . In order to compare the results obtained by means of the three methods, two code programs have been obtained with Mathematica. In both of them, the rst step is to simulate the real incomes of n families. These data are not known in practice, but they will be useful to compare the estimated incomes by means of three methods. From these data, the declared incomes of the n families are generated. Choosing randomly, the n1 p families which do not hide, the programs generate the declared incomes in the following way: In Program 1 (Table 1), they are obtained under the hypothesis of our model, this is, the quantity hidden by each family is proportional to its real income, HI k bRI k and the declared incomes are DI k RI k bRI k . In Program 2 (Table 2), the equation HI k aDI k is supposed to be the hidden 1 quantity, and thus, the declared incomes are DI k 1 RI k . a To compare results, the mean-squared error (MSE) among the real incomes and the incomes assigned by Pena, and the real incomes and the incomes estimated by means of our two methods are calculated. In the next tables, these data are presented. The MSE by Penas procedure is in red, the MSE by the state-space model method is represented in blue and the MSE of the improved method is in green. For dierent p and dierent occultation rates, ve simulations have been run, using 200 observations (200 families). In both programs, when the occultation probability (p) is high, the new methods presented in this paper behave the best as the occultation rate grows. For p 6 0:5, the improved method is the best for any occultation rate. In Penas work [8], we nd dierent models to distribute the hidden income from the declared income. In this article, we model the hidden income assuming that these incomes are proportional to the real ones, where the real income is obtained from the regional accounting. The part of our work which we want to emphasize is the fact of considering the possibility that some families do not hide their income.

Appendix A. Proof of Theorem 1 A.1. Predictor ^ k =k veries the orthogonal ^k =k Ck 1; k x We see that Uk 1; k x projection lemma (OPL), that is to say, ^k =jzT i 0; Exk x By the state equation, i 0 ; . . . ; j: A:1

222 C. S anchez Gonz alez, T.M. Garc a Mu~ noz / Appl. Math. Comput. 156 (2004) 211233

Table 1 Program 1 Occultation rate p 0:9 0.2 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 MSE state-space model 4046.44 4472.4 4289.06 4693.61 4454.33 16115.0 15238.5 16940.4 16287.3 18293.4 39264.6 40470.2 39047.5 39486.1 35977.1 79643.0 77207.4 80523.8 75274.2 68202.8 120216.0 191827.0 195668.0 170341.0 105991.0 MSE Pena 3381.5 3584.4 3087.26 3543.25 2966.53 14535.0 13177.5 15999.0 15044.6 16214.2 45092.6 47054.6 45600.2 44866.4 38485.5 112281.0 102774.0 112258.0 108676.0 97948.2 267487.0 326605.0 382666.0 282655.0 204306.0 MSE improved method 4064.44 4472.4 4289.06 4693.61 4454.33 16115.0 14876.3 16940.4 16287.3 17557.8 39264.6 40470.2 38037.4 39486.1 33946.8 79643.0 77207.4 78382.9 67040.3 68202.8 94798.0 191827.0 195668.0 170341.0 98369.6
4500 4250 4000 3750 3500 3250 2 18000 17000 16000 15000 14000 2 3 4 5 3 4 5

0.3

0.4

46000 44000 42000 40000 38000 36000 2 3 4 5

0.5

110000 100000 90000 80000 2

350000 300000 250000 200000 150000 100000 2 3 4 5

0.6

p 0:7

0.2

1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5

6452.12 7305.18 7657.38 7241.77 6502.36 24873.2 23381.4 24376.3 27097.8 30776.5 50036.5 58386.7 55970.7 53392.0 60463.7 94274.8 99082.2 102502.0 97208.0 101461.0 14507.8 12259.6 13724.8 14700.7 11998.6 42804.3 46246.9 47212.3 48360.4 42045.9

6244.64 6993.33 7595.9 7156.09 5760.38 31389.5 27561.7 28963.0 34183.0 39248.7 84626.5 95559.5 96854.4 87396.4 97486.5 261602.0 245253.0 261741.0 211621.0 246121.0 17296.7 14385.7 16151.4 17204.9 13865.5 72081.3 73674.3 75549.5 70322.1 64642.6

7379.42 7437.68 7652.64 7311.89 6421.8 16644.6 17517.1 19326.6 19056.2 21334.5 33082.2 35720.7 37088.5 32920.6 40521.4 68518.3 73178.4 78000.6 72472.1 66019.1 12450.4 11443.1 12696.7 11921.7 10428.5 28445.7 34590.1 34051.4 37933.4 31957.1

7500 7250 7000 6750 6500 6250 6000 2 3 4 5

C. S anchez Gonz alez, T.M. Garc a Mu~ noz / Appl. Math. Comput. 156 (2004) 211233 223

0.3

35000 30000 25000 2 3 4 5

0.4

90000 80000 70000 60000 50000 2 3 4 5

0.5

250000 200000 150000 100000 2

17000 16000 15000 14000 13000 12000 2
70000 60000 50000 40000 2 3 4 5

p 0:5

0.2

0.3

224 C. S anchez Gonz alez, T.M. Garc a Mu~ noz / Appl. Math. Comput. 156 (2004) 211233

Table 1 (continued) Occultation rate 0.5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 MSE state-space model 79055.1 74416.1 95853.4 86541.0 84573.5 29289.7 27802.9 27192.2 28241.4 29538.7 85481.9 72789.4 82619.4 82573.7 80034.4 58396.2 54685.0 61441.7 59650.3 54195.8 70988.0 64573.4 60755.3 60937.9 67053.5 MSE Pena 197740.0 200553.0 236058.0 233943.0 202381.0 37532.9 35724.4 35254.4 35845.0 36916.0 159266.0 164766.0 156276.0 154129.0 141722.0 527397.0 480970.0 613680.0 557401.0 481516.0 151589.0 141627.0 140778.0 135992.0 143259.0 MSE improved method 65535.9 61654.1 79027.9 69854.5 70516.1 25649.1 24227.3 22720.5 24772.7 25622.2 78284.7 69872.1 72526.9 73588.2 71098.4 49188.1 45475.2 50463.9 48144.1 47339.9 56084.8 51233.3 49609.2 49248.9 52561.1
225000 200000 175000 150000 125000 100000 2
36000 34000 32000 30000 28000 26000 2 3 4 5

p 0:3

0.2

0.3

160000 140000 120000 100000 2

600000 500000 400000 300000 200000 100000 2 3 4 5

0.5

p 0:1

0.2

140000 120000 100000 80000 2 3 4 5

0.35

1 2 3 4 5

108307.0 129248.0 119461.0 115680.0 122360.0

628541.0 639537.0 650532.0 688664.0 677879.0

90081.1 108724.0 99708.9 99138.3 103946.0

700000 600000 500000 400000 300000 200000 100000 2 3 4 5

C. S anchez Gonz alez, T.M. Garc a Mu~ noz / Appl. Math. Comput. 156 (2004) 211233 225

Table 2 Program 2 Occultation rate p 0:9 0.2 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 MSE state-space model 4166.2 4619.24 4204.29 4397.77 4418.01 17286.8 14154.9 17201.4 16277.4 14396.8 39601.7 36243.6 35201.2 33995.4 39364.1 77538.2 79659.0 61713.8 79119.9 71735.7 150543.0 149390.0 161811.0 161586.0 143991.0 MSE Pena 3308.81 3602.28 3358.84 3270.46 4033.78 14792.6 11949.3 17169.4 15796.7 11396.9 46097.0 40276.0 39075.9 39627.2 45976.8 105518.0 115609.0 92930.1 108571.0 101028.0 276907.0 308328.0 309457.0 322772.0 281714.0 MSE improved method 4166.2 4619.24 4204.29 4397.77 4418.01 17286.8 14154.9 17201.4 16277.4 14396.8 39601.7 35164.3 35201.2 31019.0 38351.4 77538.2 77008.9 54704.6 79119.9 71735.7 150543.0 144570.0 161811.0 161586.0 143991.0
4600 4400 4200 4000 3800 3600 2 3 4 5

226 C. S anchez Gonz alez, T.M. Garc a Mu~ noz / Appl. Math. Comput. 156 (2004) 211233

0.3

17000 16000 15000 14000 13000 2

46000 44000 42000 40000 38000 36000 34000 2 3 4 5

0.4

0.5

110000 100000 90000 80000 70000 2

325000 300000 275000 250000 225000 200000 175000 2 3 4 5

0.6

p 0:7

0.2

1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5

7381.75 8173.07 7683.67 6547.3 7134.68 24126.6 25988.2 25713.5 26197.7 25110.5 55046.1 58094.2 59813.9 50284.2 59333.5 89683.5 102131.0 132778.0 108358.0 103137.0 11809.8 13514.8 12289.1 11532.1 12370.9 40412.0 43506.6 43989.0 47757.1 41723.3

7248.24 6957.91 8104.35 6343.42 6998.31 27520.6 31770.3 31737.0 32738.6 31075.3 87276.7 99721.8 97461.1 80526.1 100619.0 211345.0 291407.0 324052.0 341891.0 269601.0 13339.2 15584.1 13931.1 13571.4 13944.8 63271.8 66848.7 69003.9 77002.9 63214.5

7138.4 7317.88 7664.16 5315.48 6039.73 18716.8 19035.1 18247.2 20419.1 15780.1 38087.2 36370.9 38406.8 33435.5 38601.1 68194.9 68819.0 102764.0 82131.1 76169.0 10929.7 12889.9 11875.2 9473.89 12047.0 29404.1 31436.3 31247.9 35657.6 30681.5

8000 7500

C. S anchez Gonz alez, T.M. Garc a Mu~ noz / Appl. Math. Comput. 156 (2004) 211233 227

7000 6500 6000 2 3 4 5

0.3

32500 30000 27500 25000 22500 20000 2 3 4 5

0.4

100000 90000 80000 70000 60000 50000 2 3 4 5

0.5

300000 250000 200000 150000 100000 2 3 4 5

p 0:5

0.2

15000 14000 13000 12000 11000 10000 2 3 4 5

0.3

70000 60000 50000 40000 2 3 4 5

228 C. S anchez Gonz alez, T.M. Garc a Mu~ noz / Appl. Math. Comput. 156 (2004) 211233

Table 2 (continued) Occultation rate 0.5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 MSE state-space model 103634.0 69117.8 87013.9 76256.2 99746.5 27050.6 25503.4 25402.5 25916.3 24295.4 75626.6 81850.3 72838.1 78283.5 73162.6 59123.5 62236.8 57028.1 59680.0 53493.4 63742.2 68482.1 66616.3 63724.5 65069.0 MSE Pena 213171.0 199300.0 233290.0 205996.0 245797.0 34309.9 32269.1 32578.6 33482.1 31307.9 176113.0 167410.0 176155.0 184326.0 175174.0 498678.0 631069.0 589250.0 613486.0 610747.0 154943.0 141714.0 133721.0 141832.0 146720.0 MSE improved method 79188.7 58111.4 72533.3 62257.3 79550.1 23035.4 21935.2 21201.5 22172.3 20717.5 71266.8 73590.0 69514.1 73375.4 69717.9 51643.7 50824.6 49573.9 50197.2 45463.9 50954.9 53244.1 53198.7 50562.3 52682.0
250000 225000 200000 175000 150000 125000 100000 2 34000 32000 30000 28000 26000 24000 2 3 4 5 3 4 5

p 0:3

0.2

0.35

180000 160000 140000 120000 100000 2

600000 500000 400000 300000 200000 100000 2 3 4 5

0.5

p 0:1

0.2

140000 120000 100000 80000 2 3 4 5

 0.35

1 2 3 4 5

115557.0 96444.6 117211.0 125610.0 93369.3

537792.0 532394.0 749332.0 663919.0 547867.0

95153.7 80506.3 100394.0 108223.0 77986.1

700000 600000 500000 400000 300000 200000 100000 2 3 4 5

C. S anchez Gonz alez, T.M. Garc a Mu~ noz / Appl. Math. Comput. 156 (2004) 211233 229

230 C. S anchez Gonz alez, T.M. Garc a Mu~ noz / Appl. Math. Comput. 156 (2004) 211233

Exk 1zT a Uk 1; k Exk zT a Ck 1; k Exk zT a by (A.1), ^ k =k zT a; ^k =k zT a Ck 1; k Ex Exk 1zT a Uk 1; k Ex a 0; . . . ; k : ^ k =k . In the initial ^k 1=k Uk 1; k x ^k =k Ck 1; k x Therefore, x ^0= 1 0. instant, the estimate of x0 is its mean, so that x

A.2. Filter As a consequence of the orthogonal projection theorem, the state lter can be written as a function of the one-step ahead predictor as ^k =k x ^k =k 1 F k dk ; x k P 0; A:2

where dk zk ^ zk =k 1 is the innovation process, and its expression is obtained below. By the OPL, ^ zk =k 1 is the only element of the subspace generated by the observations fz0; . . . ; zk 1g that veries Ezk zT a E^ zk =k 1zT a; a 0; . . . ; k 1: A:3

By the observation equation, and given that the independent sequence fck g is, in its turn, independent of x0 ; fxk g; fvk g, we have Ezk zT a pk H k Exk zT a Evk zT a and, by the OPL, ^k =k 1gzT a; ^k =k 1 v Ezk zT a Efpk H k x a 0; . . . ; k 1: ^k =k 1, ^k =k 1 v By (A.3), we conclude that ^ zk =k 1 pk H k x therefore, the innovation process is given by ^k =k 1 ^k =k 1 v dk zk pk H k x and the lter expression is ^k =k 1: ^k =k x ^k =k 1 F k zk pk H k x ^k =k 1 v x A:4

A.3. Gain matrix, F (k ) By (A.2), the lter error veries ex k =k ex k =k 1 F k dk . Since ex k =k is orthogonal to zk , then Eex k =k zT k 0 and

C. S anchez Gonz alez, T.M. Garc a Mu~ noz / Appl. Math. Comput. 156 (2004) 211233 231

Eex k =k 1zT k F k Edk zT k and, as ^ zk =k 1 is orthogonal to dk , the covariance matrices of the innovation process verify Pk Edk zT k , then Eex k =k 1zT k F k Pk A:5

and F k Eex k =k 1zT k P1 k . By the observation equation and given that fck g, the initial state and fxk g; fvk g are independent, we have Eex k =k 1zT k pk Eex k =k 1xT k H T k Eex k =k 1vT k and, since the estimation errors are orthogonal to the estimates Eex k =k 1zT k pk P k =k 1H T k Pxv k ; k =k 1 and the expression of F k is obtained. A.4. Covariance matrices of the innovation process, P(k ) E[d(k )dT (k )] Given that ^ zk =k 1 is orthogonal to dk , we have Pk Ezk dT k . Substituting (A.4) in this equation ^T k =k 1: ^T k =k 1H T k Ezk v Pk Ezk zT k pk Ezk x A:6 By the properties imposed on the model, Ezk zT k pk H k S k H T k pk Evk xT k H T k pk H k Exk vT k Evk vT k where S k is the covariance matrices of the state. ^T k =k 1 pk H k Exk x ^T k =k 1 Evk x ^T k =k 1 E zk x T T ^ k =k 1 pk H k Exk v ^ k =k 1 Evk v ^T k =k 1 E zk v Substituting all of these expressions in (A.6) and rearranging terms,
T Pk pk 1 pk H k S k H T k p2 k H k Exk eT x k =k 1H k T T pk H k Exk eT v k =k 1 p k Evk ex k =k 1H k

Evk eT v k =k 1:

^k =k 1 are ^k =k 1 and v Finally, taking into account that the estimates x orthogonal to the errors ex k =k 1 and ev k =k 1, the expression of the Pk is obtained. On the other hand, given that fxk g is a white noise sequence and independent of x0 , the recursive expression of S k is immediate.

232 C. S anchez Gonz alez, T.M. Garc a Mu~ noz / Appl. Math. Comput. 156 (2004) 211233

A.5. Prediction and lter error covariance matrices The expression of P k 1=k is immediate taking into account that the prediction error veries: ex k 1=k Uk 1; k ex k =k Ck 1; k ex k =k . In the other hand, by the expression ex k =k ex k =k 1 F k dk , it is clear that P k =k P k =k 1 Eex k =k 1dT k F T k
T F k Edk eT x k =k 1 F k Pk F k :

A:7

^k =k 1 we have ^k =k 1 v Since, dk zk pk H k x
^T k =k 1H T k Eex k =k 1dT k Eex k =k 1zT k pk ex k =k 1x ^T k =k 1: ex k =k 1v

^k =k 1, the ^k =k 1 and v As the error is orthogonal to the estimates x two last terms are cancelled out and, taking into account (A.5), Eex k =k 1dT k F k Pk . Substituting this expression in (A.7), the last part of the theorem is proved.

Appendix B. Proof of Theorem 2 We now prove point (a), the other point is proved in a similar fashion. By the system hypotheses, xk is uncorrelated with zk for l < k s. Therefore, ^ k =k 0. if s 1, the estimate x Given that the noise model is not known, it is impossible to obtain the equations that relate the predictors of this process as a function of the lter. We then make use of the following expression obtained by the orthogonal projection lemma: ^ k = l x ^ k = l 1 F x k ; l d l ; x ex k =l ex k =l 1 Fx k ; ldl and ex k =l are orthogonal to zl, we have Eex k =l 1zT l Fx k ; lPl, and then Fx k ; l Eex k =l 1zT lP1 l. We now nd the expression for Eex k =l 1zT l. Since ^ zl=l 1 is or^ k =l 1 is orthogonal to the innovation, thogonal to ex k =l 1 and x Eex k =l 1zT l Eex k =l 1dT l Exk dT l: Therefore, using the innovation expression and the observation equation, by the independence hypothesis, 06l6k

and we can now obtain the expression of Fx k ; l. Given that

C. S anchez Gonz alez, T.M. Garc a Mu~ noz / Appl. Math. Comput. 156 (2004) 211233 233

Eex k =l 1zT l plExk xT lH T l Exk vT l ^T l=l 1; ^T l=l 1H T l Exk v plExk x

and
T T Eex k =l 1zT l plExk eT x l=l 1H l Exk ev l=l 1:

^ k =l 1 is orthogonal to ex l=l 1 and ev l=l 1, Then, since x

T Eex k =l 1zT l plPxx k ; l=l 1H T l Px v k ; l= l 1

and it is obtained the expression Fx k ; l.

References
[1] R.E. Kalman, A new approach to linear ltering and prediction problems, Trans. ASME Ser. D: J. Basic Eng. 82 (1960) 3545. [2] A.H. Jazwinski, Stochastic Processes and Filtering Theory, Academic Press, New York, 1970. [3] J.S. Meditch, Stochastic Optimal Linear Estimation and Control, McGraw-Hill, New York, 1969. [4] R.E. Kalman, New methods in Wiener ltering theory, in: Proc. Symp. Eng. Appl. Random Function Theory and Probability, Wiley, New York, 1963, pp. 270387. [5] A. Kowalski, D. Szynal, Filtering in discrete-time systems with state and observation noises correlated on a nite time interval, IEEE Trans. Automatic Control AC-31 (4) (1986) 381384. [6] N. Nahi, Optimal recursive estimation with uncertain observation, IEEE Trans. Inform. Theory IT-15 (1969) 457462. [7] A. Hermoso, J. Linares, Linear estimation for discrete-time systems in the presence of timecorrelated disturbances and uncertain observations, IEEE Trans. Automatic Control 39 (8) (1994) 16361638. ~oz, Distribucio n personal de la renta en [8] B. Pena, F.J. Callealta, J.M. Casas, A. Merediz, J. Mun ~ a, Piramide, 1996. Espan [9] Encuesta de presupuestos familiares 1990-91, primeros resultados, 1992. [10] J.R. Magnus, H. Neudecker, Matrix dierential calculus with applications in Statistics an Econometrics, John Wiley and Sons, New York, 1988.