A simple proof for the Kalman-Bucy smoothed estimate formula

DOI10.1016/0167-7152(93)90258-KzbMATH Open0789.62072OpenAlexW1977273130MaRDI QIDQ689529FDOQ689529

Marek Rutkowski

Publication date: 12 December 1993

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(93)90258-k

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zbMATH Keywords

inhomogeneous Kalman-Bucy filtering systemsmoothed linear estimate

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

• Stochastic processes and filtering theory
• Title not available (Why is that?)
• Title not available (Why is that?)
• A generalization of the Kalman filter to models with infinite variance
• Mathematics of Kalman-Bucy filtering

Cited In (2)

• Backward Nonlinear Smoothing Diffusions
• An inequality constrained nonlinear Kalman-Bucy smoother by interior point likelihood maximization

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