Characterization of a subclass of finite-dimensional estimation algebras with maximal rank. Application to filtering. (English) Zbl 0889.93053
The finite dimensional filters for partially observed stochastic processes are studied by considering an associated finite-dimensional estimation algebra. The finite-dimensional Lie algebra of maximal rank is characterized in terms of the drift structure and the output functions. The results are proved using Riemannian geometry tools.
Reviewer: C.Vârsan (Bucureşti)
MSC:
| 93E10 | Estimation and detection in stochastic control theory |
| 93B29 | Differential-geometric methods in systems theory (MSC2000) |
References:
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