The conjugate process in stochastic realization theory

DOI10.1007/BFB0120969MaRDI QIDQ3966035zbMATH OpenOpenAlexFDO

Authors Michele Pavon

Publication date 1982

Published in Algorithms and Theory in Filtering and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bfb0120969

zbMATH Keywords

stochastic realizationsmoothing estimateconjugate processbilateral predictor

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Stochastic systems and control (93E99) Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20) Data smoothing in stochastic control theory (93E14)

Cited in

(2)

• Gaussian reciprocal processes and self-adjoint stochastic differential equations of second order
• Nearest-neighbour modelling of reciprocal chains

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