Extrapolation of stochastic processes with continuous-discrete observation channels with memory (Q1319738)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Extrapolation of stochastic processes with continuous-discrete observation channels with memory |
scientific article |
Statements
Extrapolation of stochastic processes with continuous-discrete observation channels with memory (English)
0 references
8 May 1994
0 references
This study on filtering of stochastic processes continues former work where the author considered continuous-discrete observation channels with memory. Treating the estimation problem the joint posterior distribution of the values of the unobservable process play the central role. Two theorems are stated and proved: the first serves to characterize the density function and the second considers a particular case admitting an exact solution.
0 references
stochastic systems
0 references
observation with memory
0 references
filtering
0 references
estimation
0 references
posterior distribution
0 references