A simple proof for the Kalman-Bucy smoothed estimate formula (Q689529)
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scientific article; zbMATH DE number 445298
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A simple proof for the Kalman-Bucy smoothed estimate formula |
scientific article; zbMATH DE number 445298 |
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A simple proof for the Kalman-Bucy smoothed estimate formula (English)
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12 December 1993
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The author considers an inhomogeneous Kalman-Bucy filtering system \((X,Y)\) where the signal process \(X\) and the observation process \(Y\) are one-dimensional. Using a method introduced by \textit{A. Le Breton} and \textit{M. Musiela} [see C. R. Acad. Sci., Paris, Sér. I 307, No. 1, 47-50 (1988; Zbl 0642.60027)] he gives a very simple proof for the smoothed linear estimate formula.
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inhomogeneous Kalman-Bucy filtering system
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smoothed linear estimate
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