Extrapolation of stochastic processes with continuous-discrete observation channels with memory (Q1319738)
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| Language | Label | Description | Also known as |
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| English | Extrapolation of stochastic processes with continuous-discrete observation channels with memory |
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Extrapolation of stochastic processes with continuous-discrete observation channels with memory (English)
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8 May 1994
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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.
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stochastic systems
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observation with memory
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filtering
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estimation
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posterior distribution
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