Weiner and Kalman filters for systems with random parameters

DOI10.1109/TAC.1984.1103581zbMath0546.93070MaRDI QIDQ3338071

M. J. Grimble

Publication date: 1984

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

zbMATH Keywords

equivalence principleWiener filteroptimal estimatesKalman-Bucy filterslinear stationary optimal filtering

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Linear systems in control theory (93C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Model systems in control theory (93C99)

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