A simple proof for the Kalman-Bucy smoothed estimate formula

DOI10.1016/0167-7152(93)90258-KMaRDI QIDQ689529zbMATH OpenOpenAlexFDO

Authors 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

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)

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Cites work

• scientific article; zbMATH DE number 4046791 (Why is no real title available?)
• scientific article; zbMATH DE number 3682726 (Why is no real title available?)
• A generalization of the Kalman filter to models with infinite variance
• Mathematics of Kalman-Bucy filtering
• Stochastic processes and filtering theory

Cited in

(2)

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

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