Linear and non-linear filters for linear, but not gaussian processes†

DOI10.1080/00207178408933162zbMath0532.93059OpenAlexW2015141184MaRDI QIDQ3315411

M. Yar, T. Subba Rao

Publication date: 1984

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207178408933162

zbMATH Keywords

innovation processnonlinear filterobservable process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Stationary stochastic processes (60G10) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (1)

High-order filters for estimation in non-Gaussian noise

Cites Work

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• Stochastic processes and filtering theory
• Recursive Bayesian estimation using Gaussian sums
• On Prediction of Moving-Average Processes
• Approximate non-Gaussian filtering with linear state and observation relations
• A comparison of linear versus non-linear prediction for polynomial functions of the Ornstein-Uhlenbeck process
• Non-linear filtering by approximation of the a posteriori density

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