A Zakai equation derivation of the extended Kalman filter

DOI10.1016/J.AUTOMATICA.2010.01.006MaRDI QIDQ987630zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

extended Kalman filterZakai equationdiscrete timeBayes' rule

Mathematics Subject Classification ID

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

Recommendations

• A new nonlinear filter
• On the stochastic differential equations of filtering theory
• scientific article; zbMATH DE number 3906370
• On nonlinear filtering problems for discrete time stochastic processes
• On the Reference Probability Approach to the Equations of Non-Linear Filtering

Cites work

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

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
• scientific article; zbMATH DE number 6542318 (Why is no real title available?)

This page was built for publication: A Zakai equation derivation of the extended Kalman filter

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q987630)