Optimal linear filtering and smoothing for a discrete-time stable linear model

DOI10.1006/JMVA.1994.1035zbMATH Open0806.60030OpenAlexW2005590002MaRDI QIDQ1333192FDOQ1333192

Authors: Marek Rutkowski 

Publication date: 14 February 1995

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.1994.1035

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zbMATH Keywords

prediction problemoptimal linear filteringsymmetric stable distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cited In (5)

• A simple proof for the Kalman-Bucy smoothed estimate formula
• Explicit solutions to the singular discrete finite-time linear estimation problem
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)

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