Minimal dimension linear filters for stationary Markov processes with finite state space

DOI10.1080/17442509108833706zbMath0746.60042OpenAlexW1977168113MaRDI QIDQ3978289

P. I. Kitsul, Robert Sh. Liptser, Giovanni B. Di Masi

Publication date: 25 June 1992

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509108833706

zbMATH Keywords

filtering problemstochastic realization theoryfinite-state Markov processes

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Backward representation for nonstationary Markov processes with finite state space ⋮ Markovianity of a subset of components of a Markov process

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