A new martingale approach to Kalman Filtering
نویسنده
چکیده
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.
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ورودعنوان ژورنال:
- Inf. Sci.
دوره 10 شماره
صفحات -
تاریخ انتشار 1976