Linear estimation of continuous-discrete
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J.C. Jimenez; T. Ozaki
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Article
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2002
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Elsevier Science
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English
β 211 KB
This paper deals with the estimation of the state variable of continuous-discrete linear state space models with multiplicative noise. SpeciΓΏcally, the optimal minimum variance linear ΓΏlter for that class of models is constructed. Moreover, the solutions of the di erential equations that describe th