Smoothing and likelihood ratio for Gaussian boundary value processes

DOI10.1109/9.35808zbMath0688.62052OpenAlexW2117529942MaRDI QIDQ4207495

Hans Westdijk, Arunabha Bagchi

Publication date: 1989

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

Full work available at URL: https://research.utwente.nl/en/publications/smoothing-and-likelihood-ratio-for-gaussian-boundary-value-processes(47879a72-d462-4003-ae8a-c94a407ed70b).html

zbMATH Keywords

likelihood ratiorandom fieldsKrein factorizationfiltered estimatenoisy boundary conditionsp-dimensional Brownian motionsmoothing of Gaussian two-point boundary value processesTPBV processes

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Inference from stochastic processes (62M99)

Related Items (4)

Correspondence A note on efficient smoothing for boundary value models ⋮ Shape estimation of a circular antenna from observations on the boundary ⋮ Boundary value processes: Estimation and identification ⋮ Smoothing for multipoint boundary value models

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