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

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

Review text

The author considers an inhomogeneous Kalman-Bucy filtering system \((X,Y)\) where the signal process \(X\) and the observation process \(Y\) are one-dimensional. Using a method introduced by \textit{A. Le Breton} and \textit{M. Musiela} [see C. R. Acad. Sci., Paris, Sér. I 307, No. 1, 47-50 (1988; Zbl 0642.60027)] he gives a very simple proof for the smoothed linear estimate formula.

Recommendations

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Cites work

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

Cited in

(3)

• An inequality constrained nonlinear Kalman-Bucy smoother by interior point likelihood maximization
• Backward Nonlinear Smoothing Diffusions
• Pathwise representation of the smoothing distribution in continuous-time linear Gaussian models

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