On the Innovation Theorem

DOI10.2307/2041918zbMath0445.60060OpenAlexW4242611552MaRDI QIDQ3889872

No author found.

Publication date: 1977

Full work available at URL: https://doi.org/10.2307/2041918

zbMATH Keywords

innovation processobservation process

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Markov processes (60J99)

Cites Work

• Stochastic differential equations for the non linear filtering problem
• Optimal Filtering of Continuous-Time Stationary Processes by Means of the Backward Innovation Process
• The modeling of randomly modulated jump processes
• Some Extensions of the Innovations Theorem*
• A Note on Least Squares Estimation by the Innovations Method

This page was built for publication: On the Innovation Theorem