On optimal nonlinear estimation. I: Continuous observation

DOI10.1016/0020-0255(73)90025-XzbMath0255.93024OpenAlexW2085145868MaRDI QIDQ2558846

James Ting-Ho Lo

Publication date: 1973

Published in: Information Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0020-0255(73)90025-x

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10) Diffusion processes (60J60)

Related Items (4)

On optimal nonlinear estimation. II: Discrete observation ⋮ Supplement to 'A survey of data smoothing' ⋮ Partitioned estimation algorithms. I: Nonlinear estimation ⋮ A general Bayes rule and its application to nonlinear estimation

Cites Work

• Conditional Markov Processes
• On the Differential Equations Satisfied by Conditional Probablitity Densities of Markov Processes, with Applications
• Space-Time Approach to Non-Relativistic Quantum Mechanics
• A PrioriOpen Loop Optimal Control of Continuous Time Stochastic Systems†
• Absolute Continuity and Radon-Nikodym Derivatives for Certain Measures Relative to Wiener Measure
• Finite-dimensional sensor orbits and optimal nonlinear filtering
• Unnamed Item
• Unnamed Item

This page was built for publication: On optimal nonlinear estimation. I: Continuous observation