An approximate discrete filtering for linear stochastic systems with unknown parameters

zbMATH Open1121.60042MaRDI QIDQ3596500FDOQ3596500

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Publication date: 31 August 2007

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zbMATH Keywords

Kalman filterstate estimationapproximate filterLainiotis-Kalman filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cited In (13)

• Recursive filtering in discrete nonlinear systems with unknown parameters
• An approximate minimum mean-square error estimator for linear discrete time-varying systems: handling try-once-discard protocol
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• An exact minimum variance filter for a class of discrete time systems with random parameter perturbations
• Discrete approximation of nonlinear filtering for stochastic delay equations
• A recursive linear MMSE filter for dynamic systems with unknown state vector means
• Approximate linear minimum variance filters for continuous-discrete state space models: convergence and practical adaptive algorithms
• Recurrent filtering and identification of dynamical system parameters
• Linear recursive filtering of discrete-time dynamic processes with partial information about the disturbances
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• Use of approximate discrete-time models in filtering and regulation of continuous-time processes
• Approximate filters for a nonlinear discrete time filtering problem with small observation noise
• The Kalman-Bucy filter for linear stochastic dynamic systems with discontinuous trajectories

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