A Zakai equation derivation of the extended Kalman filter

DOI10.1016/J.AUTOMATICA.2010.01.006MaRDI QIDQ987630zbMATHOpenAlexFDO

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)

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Cites work

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

Cited in

(7)

• Adaptive unscented Gaussian likelihood approximation filter
• A new nonlinear filter
• Solution of the Zakai equation by separation of variables
• Extended Kalman filters using explicit and derivative-free local linearizations
• Variational Gaussian approximation of the Kushner optimal filter
• scientific article; zbMATH DE number 6542318 (Why is no real title available?)
• Solution in the z-domain to the discrete-time stationary Kalman filtering problem for systems with perfect measurements

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