Titlebook: Statistics of Random Processes II; Applications Robert S. Liptser,Albert N. Shiryaev Book 2001Latest edition Springer-Verlag Berlin Heidelb

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Conditionally Gaussian Processes,Let (.) = (.., ..), 0 ≤ . ≤ ., be a random process with unobservable first component and observable second component. In employing the equations of optimal nonlinear filtering given by (8.10) one encounters an essential difficulty: in order to find .. (.), it is necessary to know the conditional moments of the higher orders ..

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Optimal Nonlinear Filtering: Interpolation and Extrapolation of Components of Conditionally GaussiaLet (.) = (.., ..), 0 ≤ . ≤ ., be a continuous random diffusion-type process with ., ..

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Conditionally Gaussian Sequences: Filtering and Related Problems,The two previous chapters dealt with problems of filtering, interpolation and extrapolation for the conditionally Gaussian processes (., .) in continuous time . ≥ 0. In the present chapter these problems will be investigated for random sequences with discrete time . = 0, ., 2., ..., having the property of ‘conditional normality’ as well.

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Robert S. Liptser,Albert N. ShiryaevIn the second edition, two new subsections devoted to the Kalman filter under wrong initial conditions, and a new chapter on asymptotically optimal filtering under diffusion approximation have been ad

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https://doi.org/10.1007/978-3-662-10028-8Filtering; Incomplete Data Control; Martingale; Point Process; STATISTICA; conditionally Gaussian; informa

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978-3-642-08365-5Springer-Verlag Berlin Heidelberg 2001

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