scientific article; zbMATH DE number 1507358
The paper has four parts. In the first one, a general discussion about the proper modeling of systems and their measurements leads to the adoption, as an appropriate model, of a Kalman filter type model for which the system and measurement noises are, rather than white noises, Gaussian processes with spectral densities in the form of rational fractions. When that is the case, the observation process can be transformed into a pseudo-observation process which has the advantage that standard (with white noise) Kalman methods can be applied. In the second part, a number of explicit illustrative examples are treated analytically. As the presentation is at times somewhat imprecise and obscure, the reader may want to start with the examples rather than with the general discussion. The third part is devoted to a discussion of state estimation as it applies to the chosen framework and the last to some numerical experiments using one of the examples previously mentioned. For the entire collection see [Zbl 0929.00080].
- scientific article; zbMATH DE number 3521286
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- scientific article; zbMATH DE number 497522
- Optimal filtering of doubly stochastic auto-regressive processes
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