Design of predictor using covariance information in continuous-time stochastic systems with nonlinear observation mechanism

DOI10.1016/S0165-1684(98)00072-3zbMath0909.93066MaRDI QIDQ1275142

Seiichi Nakamori

Publication date: 12 January 1999

Published in: Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1684(98)00072-3

zbMATH Keywords

design; extended Kalman filter; continuous-time stochastic systems; covariance information of signal and observation noise; extended predictor; nonlinear signal estimation

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

93E11: Filtering in stochastic control theory

93C10: Nonlinear systems in control theory

93E10: Estimation and detection in stochastic control theory

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