Filtering formulae for partially observed linear systems with non-gaussian initial conditions

DOI10.1080/17442508608833364zbMath0561.93059OpenAlexW2033987456MaRDI QIDQ5187185

Armand M. Makowski

Publication date: 1986

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508608833364

zbMATH Keywords

nonlinear filteringnon-Gaussian initial conditionspartially observed linear system

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Characteristic functions; other transforms (60E10) Linear systems in control theory (93C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Sufficient statistics and fields (62B05)

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Cites Work

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