Linear Kalman-Bucy filter with autoregressive signal and noise

DOI10.3103/S1063454118030093zbMATH Open1430.60041OpenAlexW4254187262MaRDI QIDQ2289236FDOQ2289236

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

Recommendations

• Linear Kalman-Bucy filter with vector autoregressive signal and noise
• Linear generalized Kalman-Bucy filters
• Kalman filtering with finite-step autocorrelated measurement noise
• Linear dynamic filtering with noisy input and output
• Kalman type filter under stationary noises
• The Kalman-Bucy filter revisited
• Parameter estimation for kalman-bucy filter with small noise
• The Kalman-Bucy filter for linear stochastic dynamic systems with discontinuous trajectories
• A modified Kalman filtering for linear discrete-time systems with correlated noise

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (5)

• Linear dynamic filtering with noisy input and output
• Linear Kalman-Bucy filter with vector autoregressive signal and noise
• Linear generalized Kalman-Bucy filters
• Kalman type filter under stationary noises
• The Kalman-Bucy Filter as a True Time-Varying Wiener Filter

This page was built for publication: Linear Kalman-Bucy filter with autoregressive signal and noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2289236)