Hidden ergodic Ornstein-Uhlenbeck process and adaptive filter

DOI10.1007/S11203-024-09321-6MaRDI QIDQ7009743zbMATH OpenFDO

Authors Yu. A. Kutoyants

Publication date 19 March 2025

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11203-024-09321-6

zbMATH Keywords

adaptive filterhidden Markov processKalman-Bucy filteron-line approximationone-step MLE-processpartially observed linear system

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

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Cited in

(2)

• Adaptive Kalman filter for systems with unknown initial values
• Extended adaptive Kalman filter with low noise observations

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