Linear Kalman-Bucy filter with vector autoregressive signal and noise

DOI10.1134/S1063454121010118MaRDI QIDQ2038522zbMATH OpenOpenAlexFDO

Authors Tatiana M. Tovstik

Publication date 7 July 2021

Published in Vestnik St. Petersburg University. Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s1063454121010118

zbMATH Keywords

Kalman-Bucy filtervector autoregressive stationary process of high order

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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Cites work

• Data Assimilation
• Extending the theory of Liptser-Shiryaev filters
• scientific article; zbMATH DE number 3513618 (Why is no real title available?)
• scientific article; zbMATH DE number 194337 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• scientific article; zbMATH DE number 3054885 (Why is no real title available?)
• Kalman filtering. With real-time applications
• Linear generalized Kalman-Bucy filters
• Linear Kalman-Bucy filter with autoregressive signal and noise
• Numerical methods for nonlinear filtering of signals and measurements
• Optimal convergence rate of the randomized algorithms of stochastic approximation in arbitrary noise

Cited in

(6)

• Kalman type filter under stationary noises
• Linear generalized Kalman-Bucy filters
• Linear Kalman-Bucy filter with autoregressive signal and noise
• Polynomial solution of 2D Kalman-Bucy filtering problem
• On the stability of the Kalman–Bucy filter with stationary time varying parameters
• The Kalman-Bucy Filter as a True Time-Varying Wiener Filter

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