Exact formulas for optimal filtering in a nonstationary piecewise-linear problem of parameter estimation
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Publication:750066
zbMath0713.62093MaRDI QIDQ750066
Publication date: 1989
Published in: Automation and Remote Control (Search for Journal in Brave)
sufficient statisticspiecewise-linearrecurrence equationsfiltering equationsGaussian uncorrelated observation errorsinfinitely large prior variancesnonstationary equationposterior characteristics
Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10)
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