Exact formulas for optimal filtering in a nonstationary piecewise-linear problem of parameter estimation

MaRDI QIDQ750066zbMATH OpenFDO

Authors A. E. Kolessa

Publication date 1989

Published in Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

filtering equationsGaussian uncorrelated observation errorsinfinitely large prior variancesnonstationary equationpiecewise-linearposterior characteristicsrecurrence equationssufficient statistics

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

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Cited in

(5)

• Calculation of coefficients of equations of conditionally optimal filters
• Two-dimensional model for estimating the efficiency of angular measurements in elliptic orbits
• On the Reference Probability Approach to the Equations of Non-Linear Filtering
• Optimal parameter estimation of -filter employing distribution distance
• Combined filtering and parameter estimation: Approximations and robustness

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