Abstract
Some results on Kalman-type filters for nonparametric estimation problems are presented. On-line recursive filters are proposed for an estimation of a signal and it’s derivatives observed in Gaussian white noise and for a regression estimation with equidistant observation design.
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Khasminskii, R. (2002). Kalman-Type Filters Approach for Some Nonparametric Estimation Problems. In: Pasik-Duncan, B. (eds) Stochastic Theory and Control. Lecture Notes in Control and Information Sciences, vol 280. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-48022-6_17
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DOI: https://doi.org/10.1007/3-540-48022-6_17
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