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

Mandal, P.K. and Mandrekar, V. (2000) Bayes formula for optimal filter with n-ple Markov Gaussian errors. Acta Applicandae Mathematicae, 63 (1-3). pp. 245-252. ISSN 0167-8019

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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.
Item Type:	Article
Copyright:	© 2000 Springer
Faculty:	Electrical Engineering, Mathematics and Computer Science (EEMCS)
Research Group:	Stochastic Systems and Signals (SST)
Link to this item:	http://purl.utwente.nl/publications/64801
Official URL:	http://dx.doi.org/10.1023/A:1010650018759
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