Bayes formula for optimal filter with n-ple Markov Gaussian errors

P.K. Mandal; V. Mandrekar

doi:10.1023/A:1010650018759

Bayes formula for optimal filter with n-ple Markov Gaussian errors

P.K. Mandal, V. Mandrekar

Eurandom

Research output: Contribution to journal › Article › Academic › peer-review

Abstract

We consider the nonlinear filtering problem where the observation noise process is n-ple Markov Gaussian. A Kallianpur–Striebel type Bayes formula for the optimal filter is obtained.

Original language	English
Pages (from-to)	245-252
Number of pages	245
Journal	Acta Applicandae Mathematicae
Volume	63
Issue number	1-3
DOIs	https://doi.org/10.1023/A:1010650018759
Publication status	Published - 2000

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title = "Bayes formula for optimal filter with n-ple Markov Gaussian errors",

abstract = "We consider the nonlinear filtering problem where the observation noise process is n-ple Markov Gaussian. A Kallianpur–Striebel type Bayes formula for the optimal filter is obtained.",

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JO - Acta Applicandae Mathematicae

JF - Acta Applicandae Mathematicae

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Bayes formula for optimal filter with n-ple Markov Gaussian errors

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