Discrete time filters for doubly stochas
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Jonathan H. Manton; Vikram Krishnamurthy; Robert J. Elliott
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Article
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1999
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John Wiley and Sons
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English
โ 189 KB
๐ 2 views
The well-known Kalman รฟlter is the optimal รฟlter for a linear Gaussian state-space model. Furthermore, the Kalman รฟlter is one of the few known รฟnite-dimensional รฟlters. In search of other discrete-time รฟnitedimensional รฟlters, this paper derives รฟlters for general linear exponential state-space mod