Lectures on Linear and Nonlinear Filtering

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


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).


Stochastic Differential Equation Nonlinear Filter Order Differential Operator Recursive Filter Nilpotent Approximation 
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Copyright information

© Springer-Verlag Wien 1988

Authors and Affiliations

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

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