A direct proof of innovations/observations equivalence for Gaussian procedures (Corresp.)

DOI10.1109/TIT.1978.1055845zbMATH Open0406.93051MaRDI QIDQ4193373FDOQ4193373

Authors: Mark H. A. Davis 

Publication date: 1978

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

zbMATH Keywords

Gaussian ProcessesLinear InnovationsObserved Process

Mathematics Subject Classification ID

Observability (93B07) Linear systems in control theory (93C05) Stochastic systems in control theory (general) (93E03)

Cited In (1)

• Filtering and controal of stochastic differential equations with unbounded coefficients

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