The choice of signal-process models in Kalman-Bucy filtering

DOI10.1016/0022-247X(71)90212-5zbMath0248.62045OpenAlexW2011054303MaRDI QIDQ2556188

Brian D. O. Anderson, Thomas Kailath

Publication date: 1971

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-247x(71)90212-5

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (3)

Algebraic properties of minimal degree spectral factors ⋮ Explicit strict sense state-space realizations of non-stationary processes† ⋮ Numerical solution of integral equations, fast algorithms and Krein- Sobolev equation

Cites Work

• Canonical representations of Gaussian processes and their applications
• Spectral factorization of time-varying covariance functions
• Spectral factorization of time-varying covariance functions: The singular case
• Shaping filter representation of nonstationary colored noise

This page was built for publication: The choice of signal-process models in Kalman-Bucy filtering