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Lectures on Linear and Nonlinear Filtering

  • M. Hazewinkel
Part of the International Centre for Mechanical Sciences book series (CISM, volume 303)

Abstract

Quite generally the filtering problem can be described as follows. Given a stochastic process x(t), tI, i.e. a sequence of random variables, and a (more or less related) second process y(t), tI, it is desired to find the best estimate of x at time t, i.e. the best estimate of x(t), given the (past observations) y(s), 0≤st. Usually I = (discrete time) or I = (continuous time).

Keywords

Stochastic Differential Equation Nonlinear Filter Order Differential Operator Recursive Filter Nilpotent Approximation 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Wien 1988

Authors and Affiliations

  • M. Hazewinkel
    • 1
  1. 1.CWIAmsterdamThe Netherlands

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