On the computation of Kalman gains

DOI10.1016/0045-7906(75)90037-3zbMath0352.93078OpenAlexW1983943892MaRDI QIDQ1236096

Fred J. Taylor

Publication date: 1975

Published in: Computers and Electrical Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0045-7906(75)90037-3

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35) Control/observation systems governed by ordinary differential equations (93C15)

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The Kalman-Bucy method of optimal filtering and its generalizations

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