Characterization of a subclass of finite-dimensional estimation algebras with maximal rank. Application to filtering (Q1377586)
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scientific article; zbMATH DE number 1109561
| Language | Label | Description | Also known as |
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| English | Characterization of a subclass of finite-dimensional estimation algebras with maximal rank. Application to filtering |
scientific article; zbMATH DE number 1109561 |
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Characterization of a subclass of finite-dimensional estimation algebras with maximal rank. Application to filtering (English)
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26 January 1998
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The finite dimensional filters for partially observed stochastic processes are studied by considering an associated finite-dimensional estimation algebra. The finite-dimensional Lie algebra of maximal rank is characterized in terms of the drift structure and the output functions. The results are proved using Riemannian geometry tools.
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finite dimensional filters
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finite-dimensional estimation algebra
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