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New Kalman filter and smoother consistency tests

โœ Scribed by Gibbs, Richard G.


Book ID
121258748
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
350 KB
Volume
49
Category
Article
ISSN
0005-1098

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โœ Charalambos D. Charalambous; Robert J. Elliott ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 748 KB

The optimal least-sqaares filtering of a diffusion x(t) from its noisy measurements {y(z); 0 ~< r ~< t} is given by the conditional mean E[x(t)ly(z); 0 <~ z <~ t]. When x(t) satisfies the stochastic diffusion equation dx(t)= f(x(t))dt + dw(t) and y(t)= foX(S)ds + b(t), where f(.) is a global solutio