Linear generalized Kalman-Bucy filters

DOI10.1134/S1063454119040113zbMath1454.60056OpenAlexW4285784364MaRDI QIDQ2212408

Tatiana M. Tovstik, Petr E. Tovstik

Publication date: 23 November 2020

Published in: Vestnik St. Petersburg University. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1063454119040113

zbMATH Keywords

Kalman-Bucy filterhigh-order auto-regressive processesrecurrent and direct algorithms

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (1)

Linear Kalman-Bucy filter with vector autoregressive signal and noise

Cites Work

• Linear Kalman-Bucy filter with autoregressive signal and noise
• Kalman Filtering
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