Publication:3994675

zbMath0667.93096MaRDI QIDQ3994675

No author found.

Publication date: 17 September 1992

zbMATH Keywords

Kalman filtering; continuous-time; modeling of time series; stationary Markov processes with Gaussian distributions

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

60G10: Stationary stochastic processes

62M15: Inference from stochastic processes and spectral analysis

60E10: Characteristic functions; other transforms

60J05: Discrete-time Markov processes on general state spaces

93C55: Discrete-time control/observation systems

93E10: Estimation and detection in stochastic control theory

93C05: Linear systems in control theory

93E12: Identification in stochastic control theory

93E03: Stochastic systems in control theory (general)

60J27: Continuous-time Markov processes on discrete state spaces

93-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to systems and control theory

Related Items

Unnamed Item, Multi-companion matrices, On sequential estimation of the parameters of continuous-time trigonometric regression, Nearly unstable multidimensional AR processes, Estimation of the mean of multivariate AR processes, Fluctuations of the Chandler oscillations of the Earth's pole, Functionals of complex Ornstein-Uhlenbeck processes., Asymptotic properties of nearly unstable multivariate AR processes.