Innovations informational equivalence for a class of observations with independent non-Gaussian noise

DOI10.1109/18.133254zbMath0753.93075OpenAlexW2171806117MaRDI QIDQ3980930

Yoshiki Takeuchi

Publication date: 26 June 1992

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/18.133254

zbMATH Keywords

non-Gaussian continuous martingalequadratic covariation process

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44) Stochastic systems in control theory (general) (93E03)

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