A general recursive discrete-time filter. (English) Zbl 0787.93093
Summary: A reference probability is explicitly constructed under which the signal and observation processes are independent. A simple, explicit recursive form is then obtained for the conditional density of the signal given the observations. Both nonlinear and linear filters are considered, as well as two different information patterns.
MSC:
| 93E11 | Filtering in stochastic control theory |
| 60G35 | Signal detection and filtering (aspects of stochastic processes) |
