Covariance and correlation matrices of an optimal stochastic system
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Publication:1909179
zbMath0837.60040MaRDI QIDQ1909179
V. V. Geletukha, N. A. Mikhalochkin
Publication date: 18 March 1996
Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)
stochastic dynamic systemcorrelation and covariance matrices of filter estimatorsorthogonal projection lemma
Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)
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