Smoothing and likelihood ratio for Gaussian boundary value processes

DOI10.1109/9.35808zbMATH Open0688.62052OpenAlexW2117529942MaRDI QIDQ4207495FDOQ4207495

Authors: Arunabha Bagchi, Hans Westdijk 

Publication date: 1989

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://research.utwente.nl/en/publications/smoothing-and-likelihood-ratio-for-gaussian-boundary-value-processes(47879a72-d462-4003-ae8a-c94a407ed70b).html

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zbMATH Keywords

random fieldslikelihood ratioKrein factorizationfiltered estimatenoisy boundary conditionsp-dimensional Brownian motionsmoothing of Gaussian two-point boundary value processesTPBV processes

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10)

Cited In (7)

• Conjunction probability of smooth centered Gaussian processes
• Estimation and smoothing from incomplete data for a class of lattice processes
• Correspondence A note on efficient smoothing for boundary value models
• Rao–Blackwellized Gaussian Smoothing
• Shape estimation of a circular antenna from observations on the boundary
• Smoothing for multipoint boundary value models
• Boundary value processes: Estimation and identification

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