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

P.K. Mandal, V. Mandrekar

Research output: Contribution to journalArticleAcademicpeer-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 languageEnglish
Pages (from-to)245-252
Number of pages245
JournalActa Applicandae Mathematicae
Volume63
Issue number1-3
DOIs
Publication statusPublished - 2000

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