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

Pranab K. Mandal; V. Mandrekar

doi:10.1023/A:1010650018759

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

Pranab K. Mandal
, V. Mandrekar

Research output: Contribution to journal › Article › Academic › peer-review

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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.

Original language	Undefined
Article number	10.1023/A:1010650018759
Pages (from-to)	245-252
Number of pages	8
Journal	Acta applicandae mathematicae
Volume	63
Issue number	1-3
DOIs	https://doi.org/10.1023/A:1010650018759
Publication status	Published - 2000

Keywords

EWI-12852
Nonlinear filtering
Bayes formula
IR-64801
n-ple Markov Gaussian process

Access to Document

10.1023/A:1010650018759

http://eprints.eemcs.utwente.nl/secure2/12852/01/fulltext.pdf

Cite this

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title = "Bayes formula for optimal filter with n-ple Markov Gaussian errors",

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.",

keywords = "EWI-12852, Nonlinear filtering, Bayes formula, IR-64801, n-ple Markov Gaussian process",

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year = "2000",

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journal = "Acta applicandae mathematicae",

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AU - Mandal, Pranab K.

AU - Mandrekar, V.

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AB - 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.

KW - EWI-12852

KW - Nonlinear filtering

KW - Bayes formula

KW - IR-64801

KW - n-ple Markov Gaussian process

U2 - 10.1023/A:1010650018759

DO - 10.1023/A:1010650018759

M3 - Article

SN - 0167-8019

VL - 63

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EP - 252

JO - Acta applicandae mathematicae

JF - Acta applicandae mathematicae

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M1 - 10.1023/A:1010650018759

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