A class of filter problems. II: Solution for absolutely continuous kernels

DOI10.1007/BF00935278zbMATH Open0464.93079MaRDI QIDQ1154433FDOQ1154433

Authors: Leonard David Berkovitz 

Publication date: 1982

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

variational problemsautocorrelation functionrenewal equationsolutions with compact support

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)

Cites Work

• A non-classical variational problem arising from an optimal filter problem. II
• A non-classical variational problem arising from an optimal filter problem
• A class of filter problems. I: Existence Theory
• A Variational Problem Related to an Optimal Filter Problem with Self-Correlated Noise
• Addenda to "A Variational Problem Related to an Optimal Filter Problem with Self-Correlated Noise"
• A Note on the Littlewood Three-Derivates Theorem

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