Stochastic processes and filtering theory

zbMath0203.50101MaRDI QIDQ2541850

A. H. Jazwinski

Publication date: 1970

Published in: Mathematics in Science and Engineering (Search for Journal in Brave)

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simulations and noisy data assimilations in two-dimensional stochastic neural fields with infinite signal transmission speed, Unnamed Item, A stochastic equivalence approach for an Ornstein-Uhlenbeck process driven power system dynamics, Analytical uses of Kalman filtering in econometrics — A survey, Optimal measurement control strategies for natural resource systems, Existence and Uniqueness for Four-Dimensional Variational Data Assimilation in Discrete Time, Efficient particle filtering for stochastic Korteweg–de Vries equations, Continuous time modeling of panel data: SEM versus filter techniques, Nonlinear continuous time modeling approaches in panel research, Analyzing reciprocal relationships by means of the continuous‐time autoregressive latent trajectory model, Assessing the relationships between Nationalism, Ethnocentrism, and Individualism in Flanders using Bergstrom's approximate discrete model, Unnamed Item, THE CORRESPONDENCE BETWEEN STOCHASTIC RESONANCE AND BIFURCATION OF MOMENT EQUATIONS OF NOISY NONLINEAR DYNAMICAL SYSTEM, A reduced basis Kalman filter for parametrized partial differential equations, A PROBLEM IN STOCHASTIC AVERAGING OF NONLINEAR FILTERS, Filtering for a class of nonlinear MIMO uncertain time-delay stochastic systems, On Stability of a Class of Filters for Nonlinear Stochastic Systems, Central suboptimalH_∞controller design for linear time-varying systems with unknown parameters, Central suboptimal mean-squareH_∞controller design for linear stochastic time-varying systems, Gaussian sum approximation for non-linear fixed-point prediction, Linear and non-linear filters for linear, but not gaussian processes†, STOCHASTIC OPTIMAL CONTROL FOR JUMP SYSTEMS WITH APPLICATION TO SAMPLED-DATA SYSTEMS, Filterlng of hidden diffusion processes, Non-linear quadratic gaussian control†, An iterated fuzzy extended Kalman filter for nonlinear systems, Robustness of extended-Kalman-type observers, Approximate finite-dimensional filtering for polynomial states over polynomial observations, Optimal discretization of continuous-time linear filter and linear regulator, and duality properties, Recursive parameter estimation of transfer function models, STRUCTURAL, DYNAMIC MODELLING IN UNOBSERVABLE SPACES OF COVARIANCE-STATIONARY STOCHASTIC PROCESSES, Boundary element solution of the two-dimensional groundwater flow equation with stochastic free surface boundary condition, Likelihood ratio test for estimation of time-varying systems, Bootstrap decentralized identification of large-scale interconnected systems, Application of pseudolinear partitioned filter to passive vehicle tracking†, A suboptimal terminal controller for linear discrete-time systems, Optimal structurally partitioned filter for undisturbable stochastic systems Part I. Basic theory, Unnamed Item, Computational aspects of kalman filtering with a diffuse prior distribution^*, SEM Modeling with Singular Moment Matrices Part I: ML-Estimation of Time Series, Lp-stability of estimation errors of kalman filter for tracking time-varying parameters, Optimization based on quasi-Monte Carlo sampling to design state estimators for non-linear systems, Deterministic Mean-Field Ensemble Kalman Filtering, Second-order Bayesian revision of a generalised linear model, Sliding mode identification and control for linear uncertain stochastic systems, Data Assimilation in the Detection of Vortices, On extended state based Kalman filter for nonlinear time-varying uncertain systems with measurement bias, Multilevel ensemble Kalman filtering, State estimation for linear and non-linear equality-constrained systems, Average Reachability of Continuous-time Markov Jump Linear Systems and the Linear Minimum Mean Square Estimator, Parametric Identification Based on the Adaptive Unscented Kalman Filter, Detecting spatio-temporal modes in multivariate data by entropy field decomposition, Estimating the State in Stiff Continuous-Time Stochastic Systems within Extended Kalman Filtering, An adaptive observer for joint estimation of states and parameters in both state and output equations, CHAOS AND WEATHER FORECASTING: THE ROLE OF THE UNSTABLE SUBSPACE IN PREDICTABILITY AND STATE ESTIMATION PROBLEMS, TREATMENT OF THE ERROR DUE TO UNRESOLVED SCALES IN SEQUENTIAL DATA ASSIMILATION, Discrete-time adaptive sliding mode control for a class of uncertain time delay systems, Estimation and control of discrete time stochastic systems having cone-bounded non-linearities†, Partitioned estimators based on the perturbed Kalman filter equations, Unnamed Item, Developing practical filters for non-linear systems using a new approach, On a general concept of forgetting, An Approximate Innovation Method For The Estimation Of Diffusion Processes From Discrete Data, Stability of distributed estimators for linear stochastic systems, Discrete-time adaptive sliding mode control for uncertain systems based on multi-rate output measurement, Scattering framework for backwards partitioned estimators, Entropy stability of continuous dynamic systems, Unnamed Item, Unnamed Item, Interest rate futures: estimation of volatility parameters in an arbitrage-free framework, CONTINUOUS-TIME DYNAMICAL SYSTEMS WITH SAMPLED DATA, ERRORS OF MEASUREMENT AND UNOBSERVED COMPONENTS, Developing a sensor-based underwater navigation system, Recursive forgetting algorithms, Identification of shallow sea models, On the Origins of Imperfection and Apparent Non-rationality, Variance formulae for feedback stochastic control systems, Sul ruolo delle distribuzioni di classe esponenziale nel filtraggio, Neural networks for nonlinear state estimation, Kalman filter with a non-linear non-Gaussian observation relation, Tracking control of non-linear stochastic systems by using path cross-entropy and Fokker-Planck equation, High-gain observers for non-linear systems, Generalized fixed-interval smoothers for discrete-time systems, An approach to periodic, time-varying parameter estimation using nonlinear filtering, Unnamed Item, Approximate solution of the Fokker‐Planck‐Kolmogorov equation by finite elements, Unnamed Item, A local linearization approach to nonlinear filtering, Assessing the performance of data assimilation algorithms which employ linear error feedback, Hierarchical system identification of states and parameters in interconnected power systems†, Numerical Approximation of the Frobenius--Perron Operator using the Finite Volume Method, Simple general method to analyse the moment stability and sensitivity of non-linear stochastic systems with or without delay, Estimation and smoothing from incomplete data for a class of lattice processes, On leastp-th power methods in multiple regressions and location estimations, Asymptotic Forecast Uncertainty and the Unstable Subspace in the Presence of Additive Model Error, The application of an approximate non-linear filter to systems governed by coupled ordinary and partial differential equations, Front Shape Similarity Measure for Shape-Oriented Sensitivity Analysis and Data Assimilation for Eikonal Equation, Unnamed Item, Unnamed Item, Unnamed Item, FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING*, Emitter location using an angle-only tracking filter with own-ship trajectory estimation, Stochastic Filtering Methods in Electronic Trading, Accuracy of Some Approximate Gaussian Filters for the Navier--Stokes Equation in the Presence of Model Error, Early warning, New results in relativistic information theory. Application to deterministic, stochastic and biological systems†, New results on stochastic systems excited by white noise powers, Non-linear filtering for Markov stochastic processes, using higher-order statistics (HOS) approach, Recursive estimation for economic research: the multiple equations Case, Optimal linear control of linear production-inventory systems, Adaptive tracking system for a manoeuvring target using images with correlated noises, Existence theorems for non-linear random integral equations with time lags, A separation theorem for the stochastic sampled-data LQG problem, NONLINEAR DYNAMICAL SYSTEM IDENTIFICATION FROM UNCERTAIN AND INDIRECT MEASUREMENTS, A non-linear parameter identification approach with applications†, Adaptive estimation and stochastic control for uncertain models†, Nonlinear continuous-discrete filtering using kernel density estimatesand functional integrals, Unnamed Item, A minimax property of the Kalman filter, State estimation schemes for fault detection and diagnosis in dynamic systems, A sequential method for spline approximation with variable knots†, On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations*, Joint state and parameter estimation for a nuclear reactor with fast and slow modes, Performance robustness analysis of Kalman filter for linear discrete-time systems under plant and noise uncertainty, Unnamed Item, Simulations of two suboptimal dual controllers†, The continuous kalman filter as the limit of the discrete kalman filter, Estimation for discrete non-linear time-delayed systems and measurements with correlated and coloured noise processes, Some aspects of recursive parameter estimation, Identification both of the unknown plant and noise parameters of the K aim an filter†, A nonlinear set-membership filter for on-line applications, An Adaptive Extended Kalman Filter with Application to Compartment Models, Maximum likelihood and optimum location of observation sites in geodetic and spatial surveying, INITIALIZATION OF THE KALMAN FILTER WITH PARTIALLY DIFFUSE INITIAL CONDITIONS, Variable measurement structures for process control, A sequential failure detection approach and the identification of failure parameters, Unnamed Item, Bayesian subset selection for additive and linear loss function, A recursive approach to parameter estimation in regression and time series models, Application of a multiple-model adaptive filter method to inertial navigation systems, Recursive estimation of bilinear time series models, Convergence and asymptotic behaviour of parallel algorithms, Refined instrumental variable methods of recursive time-series analysis Part III. Extensions, Construction and applications of discrete-time smoothing error models, Unnamed Item, An alternative approach to non-linear filtering†, Estimation and tests of hypotheses for the initial mean and covariance in the kalman filter model, Non-linear filtering—the link between Kalman and extended Kalman filters, Unnamed Item, Kalman type filter for models with stochastic regressors and applications to econometric models, Unnamed Item, Continuous panel models with time dependent parameters, A finite-time linear filter for discrete-time systems in singular case, Unnamed Item, Estimation and control for a sensor moving along a one-dimensional track, Convergence Properties in Kalman Filtering, Generalized Chandrasekhar algorithms for distributed-parameter filtering problem with pointwise coloured measurement noise, Reduced Kalman filtering for indirect adaptive control of the induction motor, An adaptive filter using scanning observation with application to a DPS, Adaptive dead‐beat control law for trajectory tracking of robotic manipulators, Filtering for hybrid systems with Markovian and deterministic switching parameters^(∗), Unnamed Item, Multistage stochastic linear differential game with decision-time constraint, A solvable stochastic model of population growth in a region with threshold effect, Optimality with a finite number of trajectory penalties, An approach via the central limit theorem to randomization of Fourier’s transform, A new method to design non-linear feedback controllers for non-linear systems, Robust parametric identification procedure of stochastic nonlinear continuous-discrete systems, YULE‐WALKER ESTIMATES FOR CONTINUOUS‐TIME AUTOREGRESSIVE MODELS, THE DISTRIBUTION OF NONSTATIONARY AUTOREGRESSIVE PROCESSES UNDER GENERAL NOISE CONDITIONS, The Kalman stochastic ensemble filter with transformation of perturbation ensemble, Estimation of Dynamic Assignment Matrices and OD Demands Using Adaptive Kalman Filtering, Identification of time delays in linear stochastic systems, Stochastic differential equations with fractional Brownian motion input, An efficient algorithm for stochastic ensemble smoothing, Estimation of systematic error in an equatorial ocean model using data assimilation, Switched linear modelling approach for high pressure thawing process analysis, Rank Bounds for Approximating Gaussian Densities in the Tensor-Train Format, Approximate Bayesian Prediction Using State Space Model with Uniform Noise, Fault Detection for Buildings Using Uncertain Parameters and Interacting Multiple-Model Method, General convergence result for continuous-discrete feedback particle filter, Sliding-mode estimators for a class of non-linear systems affected by bounded disturbances, One-Dimensional Kalman Filter in Algorithms for Numerical Solution of the Problem of Optimal Dynamic Measurement, Shadowing-Based Data Assimilation Method for Partially Observed Models, Ecosystem Modeling and Data Assimilation of Physical-Biogeochemical processes in Shelf and Regional Areas of the Mediterranean Sea, A Note on Riccati Matrix Difference Equations, QQ-plot approach to robust Kalman filtering, Adaptive Discrete Sliding Mode Control for Mechanical Systems with Mismatched Uncertainties, Limit theorems for filtered long-range dependent random fields, On linear stochastic differential games with non-linear and noisy information, Multilevel Ensemble Kalman–Bucy Filters, Continuum Covariance Propagation for Understanding Variance Loss in Advective Systems, Rank Deficiency of Kalman Error Covariance Matrices in Linear Time-Varying System With Deterministic Evolution, The simultaneous processes of ageing and mortality, On derivative-free extended Kalman filtering and its Matlab-oriented square-root implementations for state estimation in continuous-discrete nonlinear stochastic systems, Filtering theory for a weakly coloured noise process, Fisher Information Matrix for Single Molecules with Stochastic Trajectories, On practical implementation of robust kalman filtering, Kalman filtering of systems with parameter uncertainties—a survey, On identification of non-stationary parameters by fixed point smoothing-the case of coloured noise, Longitudinal LISREL model estimation from incomplete panel data using the EM algorithm and the Kalman smoother, A vector autoregressive model to predict hurricane tracks, Analysis of a localised nonlinear ensemble Kalman Bucy filter with complete and accurate observations, High-gain extended Kalman filter for continuous-discrete systems with asynchronous measurements, Recursive estimation in piecewise affine systems using parameter identifiers and concurrent learning, On a Boundary Value Problem in the Filtering Theory for Discrete Volterra Equations, A second order ODE is sufficient for modelling of many periodic signals, Grid methods for Bayes-optimal continuous-discrete filtering and utilizing a functional tensor train representation, Optimal filtering for incompletely measured polynomial states over linear observations, Recognition Dynamics in the Brain under the Free Energy Principle, Stability analysis of the Kalman predictor, Adaptive sliding mode control for a class of uncertain discrete-time systems using multi-rate output measurement, Optimal filtering for linear systems with state and observation delays, Random evolution equations in hydrology, Random evolution equations in hydrology, Calibration and estimation of redundant signals, The application of matrix differential calculus for the derivation of simplified expressions in approximate nonlinear filtering algorithms, On the design of a stable adaptive filter for state estimation in high dimensional systems, Non-linear mathematical model for integrated global positioning/inertial navigation systems, Extended Kalman filter synthesis for integrated global positioning/inertial navigation systems, Convergence of Discount Time Series Dynamic Linear Models, A Hybrid Ensemble Transform Particle Filter for Nonlinear and Spatially Extended Dynamical Systems, On-line state estimation of bioprocesses with full horizon observers, Data assimilation as a nonlinear dynamical systems problem: Stability and convergence of the prediction-assimilation system, Modal parameter identification using Z‐transforms, Towards an approach to stochastic adaptive control using the maximum entropy principle, Prediction theory for autoregressivemoving average processes, Random cascades on wavelet trees and their use in analyzing and modeling natural images, Constrained linear state estimation -- a moving horizon approach, Algorithms for uncertainty propagation in transmission‐line matrix (TLM) method, A data assimilation method used with an ocean circulation model and its application to the tropical Atlantic, Least squares estimation techniques for position tracking of radioactive sources, A study of an inverse method for the estimation of impulsive heat flux, Dynamics of a stochastically perturbed two-body problem, A general system theory approach to rail freight car fleet sizing, Stochastic control of hysteretic structural systems., Data assimilation of forecasted errors in hydrodynamic models using inter‐model correlations, Adaptive-Gain Observers and Applications, Entropy of Markovian processes: Application to image entropy in computer vision, Nonlinear identification of electro-magnetic force model, Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC, Convergence of empirical processes for interacting particle systems with applications to nonlinear filtering, Ensemble Transform Algorithms for Nonlinear Smoothing Problems, Flow state estimation in the presence of discretization errors, Modelling and asset allocation for financial markets based on a stochastic volatility microstructure model, Continuous‐discrete filters for bearings‐only underwater target tracking problems, An efficient 3D particle transport model for use in stratified flow, Data-Informed Method of Distributions for Hyperbolic Conservation Laws, Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach, Data assimilation: The Schrödinger perspective, Robust data assimilation with noise: Applications to cardiac dynamics, Unnamed Item, Third-order approximate Kushner filter for a non-linear dynamical system, Estimation of indirectly observable Langevin states: path integral solution using statistical physics methods, From Model-Based to Data-Driven Filter Design, A Guided Sequential Monte Carlo Method for the Assimilation of Data into Stochastic Dynamical Systems, Kalman--Bucy Filtering and Minimum Mean Square Estimator under Uncertainty, Predictability, real time estimation, and the formulation of unobserved components models, Generating and enhancing lag synchronization of chaotic systems by white noise, Decentralised navigation systems for bearing-based position and velocity estimation in tiered formations, Unnamed Item, Degenerate Kalman Filter Error Covariances and Their Convergence onto the Unstable Subspace, Estimation of non-integral and integral quadratic functions in linear stochastic differential systems, Recursive identification of linear and non-linear systems, Data Assimilation for Geophysical Fluids: The Diffusive Back and Forth Nudging, Deterministic Treatment of Model Error in Geophysical Data Assimilation, Initial state estimation from limited observations of the heat equation in metric graphs, Numerical linear algebra in data assimilation, Data assimilation for large‐scale spatio‐temporal systems using a location particle smoother, A statistical overview and perspectives on data assimilation for marine biogeochemical models, Universal MATLAB‐based square‐root solutions in the family of continuous‐discrete Gaussian filters for state estimation in nonlinear stochastic dynamic systems, State estimation for systems with unobservable packet losses: Approximate estimation, stability, and performance analysis, Event-triggered risk-sensitive smoothing for linear Gaussian systems, Diffuse Kalman filtering with linear constraints on the state parameters, Lagrangian Modelling of Transport Phenomena Using Stochastic Differential Equations, Kalman–Bucy filter-based tracking controller design and experimental validations for a quadcopter with parametric uncertainties and disturbances, A theoretical analysis of one-dimensional discrete generation ensemble Kalman particle filters, Analysis of the ensemble Kalman-Bucy filter for correlated observation noise, Mortensen observer for a class of variational inequalities – lost equivalence with stochastic filtering approaches, Convergence analysis of splitting-up algorithm of the Zakai's equation with correlated noises, The strong consistency of quasi-maximum likelihood estimators for \(p\)-order random coefficient autoregressive (RCA) models, Optimal projection filters with information geometry, Tumor growth and population modeling in a toxicant-stressed random environment, Existence and uniqueness for variational data assimilation in continuous time, Back-and-forth nudging for the quasi-geostrophic ocean dynamics with altimetry: theoretical convergence study and numerical experiments with the future SWOT observations, Discrete-time stochastic consensus: a Kalman-filter-based two-time-scale protocol, Kalman-based velocity-free trajectory tracking control of an underactuated aerial vehicle with unknown system dynamics, Long baseline navigation filter with clock offset estimation, Stochastic filtering in fractional-order circuits, Estimation of robot states with Poisson process based on EKF approximate of Kushner filter: a completely coordinate free Lie group approach, The limited-memory recursive variational Gaussian approximation (L-RVGA), Estimation of ARMAX processes with noise corrupted output signal observations, Resilient time‐varying formation tracking for mobile robot networks under deception attacks on positioning