Regularization of a generalized Kalman filter

B.M. Miller and E.Ya. Rubinovich

Mathematics and Computers in Simulation (MATCOM), 1995, vol. 39, issue 1, 87-108

Abstract: The authors derive equations for optimum and near-optimum Kalman filters for the filtration problem with a singular covariance matrix for the noise in the observations in the case when the processes under consideration are described by Ito's stochastic differential equations with measure.

Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:39:y:1995:i:1:p:87-108

DOI: 10.1016/0378-4754(95)00024-R

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