Characterization of a subclass of finite-dimensional estimation algebras with maximal rank. Application to filtering
The finite dimensional filters for partially observed stochastic processes are studied by considering an associated finite-dimensional estimation algebra. The finite-dimensional Lie algebra of maximal rank is characterized in terms of the drift structure and the output functions. The results are proved using Riemannian geometry tools.
scientific article; zbMATH DE number 1109561
scientific article