On the Innovation Theorem

DOI10.2307/2041918MaRDI QIDQ3889872zbMATH OpenOpenAlexFDO

Authors

Publication date 1977

Full work available at URL https://doi.org/10.2307/2041918

zbMATH Keywords

innovation processobservation process

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Markov processes (60J99)

Cites work

• A Note on Least Squares Estimation by the Innovations Method
• Optimal Filtering of Continuous-Time Stationary Processes by Means of the Backward Innovation Process
• Some Extensions of the Innovations Theorem*
• Stochastic differential equations for the non linear filtering problem
• The modeling of randomly modulated jump processes

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