Elliptically contoured random variables and their application to the extension of the Kalman filter

DOI10.1016/0898-1221(90)90008-8zbMath0698.60038OpenAlexW2207498401MaRDI QIDQ912478

Paweł Jerzy Szabłowski

Publication date: 1990

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0898-1221(90)90008-8

zbMATH Keywords

Kalman filterelliptically contoured random variablesnoises' model

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Distribution theory (60E99)

Cites Work

• Remarks on properties of probability distributions determined by conditional moments
• On the projections of isotropic distributions
• On the theory of elliptically contoured distributions
• On the linearity of regression
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