Linear Kalman-Bucy filter with autoregressive signal and noise

DOI10.3103/S1063454118030093MaRDI QIDQ2289236zbMATH OpenOpenAlexFDO

Authors Tatiana M. Tovstik

Publication date 28 January 2020

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

Full work available at URL https://doi.org/10.3103/s1063454118030093

zbMATH Keywords

Kalmanautoregressive processes of high orderBucy filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

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