#### Filter Results:

#### Publication Year

1994

2016

#### Publication Type

#### Co-author

#### Key Phrase

#### Publication Venue

Learn More

We investigate the information theoretic properties of Kalman–Bucy filters in continuous time, developing notions of information supply, storage and dissipa-tion. Introducing a concept of energy, we develop a physical analogy in which the unobserved signal describes a statistical mechanical system interacting with a heat bath. The abstract 'universe'… (More)

We consider estimation problems, in which the estimand, X, and observation, Y , take values in measurable spaces. Regular conditional versions of the forward and inverse Bayes formula are shown to have dual variational characterisations involving the minimisation of an apparent information, and the maximisation of a compatible information. These both have… (More)

We determine the maximum amount of work extractable in finite time by a demon performing continuous measurements on a quadratic Hamiltonian system subjected to thermal fluctuations, in terms of the information extracted from the system. The maximum work demon is found to apply a high-gain continuous feedback involving a Kalman-Bucy estimate of the system… (More)

This paper develops information geometric representations for non-linear filters in continuous time. The posterior distribution associated with an abstract nonlinear filtering problem is shown to satisfy a stochastic differential equation on a Hilbert information mani-fold. This supports the Fisher metric as a pseudo-Riemannian metric. Flows of Shannon… (More)