Regularization of a generalized Kalman filter

The authors derive equations for optimum and near-optimum Kalman filters for the filtration problem with a singular covariance matrix for the noise in the observations in the case when the processes under consideration are described by Ito's stochastic differential equations with measure.

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Year of publication:	1995
Authors:	Miller, B.M. ; Rubinovich, E. Ya.
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 39.1995, 1, p. 87-108
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010749735