Linear Kalman-Bucy filter with autoregressive signal and noise

DOI10.3103/S1063454118030093zbMath1430.60041OpenAlexW4254187262MaRDI QIDQ2289236

Tatiana M. Tovstik

Publication date: 28 January 2020

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

Full work available at URL: https://doi.org/10.3103/s1063454118030093

zbMATH Keywords

Kalmanautoregressive processes of high orderBucy filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (2)

Linear generalized Kalman-Bucy filters ⋮ Linear Kalman-Bucy filter with vector autoregressive signal and noise

Cites Work

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