A Zakai equation derivation of the extended Kalman filter

DOI10.1016/j.automatica.2010.01.006zbMath1194.93124OpenAlexW2056288278MaRDI QIDQ987630

Robert J. Elliott, Simon Haykin

Publication date: 13 August 2010

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2010.01.006

zbMATH Keywords

extended Kalman filterdiscrete timeZakai equationBayes' rule

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55)

Related Items (1)

Adaptive unscented Gaussian likelihood approximation filter

Cites Work

• Stochastic processes and filtering theory
• New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models

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