A Zakai equation derivation of the extended Kalman filter

DOI10.1016/J.AUTOMATICA.2010.01.006zbMATH Open1194.93124OpenAlexW2056288278MaRDI QIDQ987630FDOQ987630

Authors: Robert J. Elliott, Simon Haykin 

Publication date: 13 August 2010

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2010.01.006

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zbMATH Keywords

extended Kalman filterZakai equationdiscrete timeBayes' rule

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55)

Cites Work

• Stochastic processes and filtering theory
• New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models

Cited In (7)

• Variational Gaussian approximation of the Kushner optimal filter
• Solution of the Zakai equation by separation of variables
• Solution in the z-domain to the discrete-time stationary Kalman filtering problem for systems with perfect measurements
• A new nonlinear filter
• Extended Kalman filters using explicit and derivative-free local linearizations
• Adaptive unscented Gaussian likelihood approximation filter
• Title not available (Why is that?)

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