- Full text PDF available (3)
- This year (0)
- Last 5 years (1)
- Last 10 years (1)
Journals and Conferences
A nonlinear differential equation of the Riccati type is derived for the covariance matrix of the optimal filtering error. The solution of this "variance equation" completely specifies the optimal filter for either finite or infinite smoothing intervals and stationary or nonstationary statistics. The variance equation is closely related to the Hamiltonian… (More)
This paper is a written version of a talk to be given on problems of filtering theory. It is a review of the linear theory and some of the recent fundamental ad\ ances in the nonlinear theory. Some open and quite interesting problems in the nonlinear theory are discussed.
Since the appearance of  and , the theory of linear filtering has experienced a renaissance. This theory, although evidently well known to statisticians in terms of "least squares estimates," has found many applications in the early sixties, largely because of the realization and synthesis methods provided in  and . For an indication ofsome of… (More)