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Goggin, Eimear M.

Convergence of filters with applications to the Kalman-Bucy case. (English) Zbl 0753.60039

IEEE Trans. Inf. Theory 38, No. 3, 1091-1100 (1992).

Cited in 1 Review
Cited in 5 Documents

MSC:

60G35 Signal detection and filtering (aspects of stochastic processes)
93E11 Filtering in stochastic control theory

Keywords:

convergence of conditional expectations; Kalman-Bucy filtering; asymptotically optimal estimate; stochastic difference equations
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