scientific article; zbMATH DE number 3909450

MaRDI QIDQ3685768zbMATH OpenFDO

Authors N. V. Krichagina, R. Liptser, Evgeny Ya. Rubinovich

Publication date 1985

zbMATH Keywords

Gaussian filtering modelreduction of the dimension

Mathematics Subject Classification ID

Gaussian processes (60G15) Signal detection and filtering (aspects of stochastic processes) (60G35) Continuous-time Markov processes on general state spaces (60J25) Filtering in stochastic control theory (93E11)

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• A Kalman filtering technique for certain Markov chains
• Measure change estimates for hidden Markov models
• Filtering a Markovian process which is observed jointly with a step-wise perturbation
• Exact adaptive filters for Markov chains observed in Gaussian noise
• Kalman filtering of a space-time Markov random field
• Modèles de Markov triplet et filtrage de Kalman (Triplet Markov models and Kalman filtering)
• Ergodic theory for controlled Markov chains with stationary inputs
• Kalman filtering on approximate state-space models
• On Filtering of Markov Chains in Strong Noise
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• A finite-dimensional filter for hybrid observations
• Kalman filtering for continuous-time uncertain systems with Markovian jumping parameters
• Numerically stable Kalman filter implementations for estimating linear pairwise Markov models in the presence of Gaussian noise
• Remarks on linear and nonlinear filtering
• A numerical filtering method for linear state-space models with Markov switching
• Optimal asynchronous estimation of 2D Gaussian-Markov processes

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