A new martingale approach to Kalman Filtering

Arunabha Bagchi

doi:10.1016/0020-0255(76)90039-6

A new martingale approach to Kalman Filtering

Arunabha Bagchi

Research output: Contribution to journal › Article › Academic

295 Downloads (Pure)

Abstract

A new derivation of continuous-time Kalman Filter equations is presented. The underlying idea has been previously used to derive the smoothing equations. A unified approach to filtering and smoothing problems has thus been achieved.

Original language	Undefined
Pages (from-to)	187-192
Journal	Information sciences
Volume	10
Issue number	2
DOIs	https://doi.org/10.1016/0020-0255(76)90039-6
Publication status	Published - 1976

Keywords

IR-68066

Access to Document

10.1016/0020-0255(76)90039-6

Bagchi76new

Cite this

@article{73fb59004f2b4b809a7d1cf4b23c568e,

title = "A new martingale approach to Kalman Filtering",

abstract = "A new derivation of continuous-time Kalman Filter equations is presented. The underlying idea has been previously used to derive the smoothing equations. A unified approach to filtering and smoothing problems has thus been achieved.",

keywords = "IR-68066",

author = "Arunabha Bagchi",

year = "1976",

doi = "10.1016/0020-0255(76)90039-6",

language = "Undefined",

volume = "10",

pages = "187--192",

journal = "Information sciences",

issn = "0020-0255",

publisher = "Elsevier",

number = "2",

}

TY - JOUR

T1 - A new martingale approach to Kalman Filtering

AU - Bagchi, Arunabha

PY - 1976

Y1 - 1976

N2 - A new derivation of continuous-time Kalman Filter equations is presented. The underlying idea has been previously used to derive the smoothing equations. A unified approach to filtering and smoothing problems has thus been achieved.

AB - A new derivation of continuous-time Kalman Filter equations is presented. The underlying idea has been previously used to derive the smoothing equations. A unified approach to filtering and smoothing problems has thus been achieved.

KW - IR-68066

U2 - 10.1016/0020-0255(76)90039-6

DO - 10.1016/0020-0255(76)90039-6

M3 - Article

SN - 0020-0255

VL - 10

SP - 187

EP - 192

JO - Information sciences

JF - Information sciences

IS - 2

ER -