A simple asymptotically optimal filter over an infinite horizon.

Chigansky, P.; Liptser, R.; Bobrovsky, B.Z.

Journal of Applied Mathematics and Stochastic Analysis (2001)

  • Volume: 14, Issue: 1, page 93-112
  • ISSN: 2090-3332

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Chigansky, P., Liptser, R., and Bobrovsky, B.Z.. "A simple asymptotically optimal filter over an infinite horizon.." Journal of Applied Mathematics and Stochastic Analysis 14.1 (2001): 93-112. <http://eudml.org/doc/49091>.

@article{Chigansky2001,
author = {Chigansky, P., Liptser, R., Bobrovsky, B.Z.},
journal = {Journal of Applied Mathematics and Stochastic Analysis},
keywords = {nonlinear Kalman filter; asymptotic optimality; indefinite horizon; lower error bound; continuous time signal; discrete time observations},
language = {eng},
number = {1},
pages = {93-112},
publisher = {Hindawi Publishing Corporation, New York},
title = {A simple asymptotically optimal filter over an infinite horizon.},
url = {http://eudml.org/doc/49091},
volume = {14},
year = {2001},
}

TY - JOUR
AU - Chigansky, P.
AU - Liptser, R.
AU - Bobrovsky, B.Z.
TI - A simple asymptotically optimal filter over an infinite horizon.
JO - Journal of Applied Mathematics and Stochastic Analysis
PY - 2001
PB - Hindawi Publishing Corporation, New York
VL - 14
IS - 1
SP - 93
EP - 112
LA - eng
KW - nonlinear Kalman filter; asymptotic optimality; indefinite horizon; lower error bound; continuous time signal; discrete time observations
UR - http://eudml.org/doc/49091
ER -

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