For a linear Gaussian stochastic system, the filtering problem is considered, when the covariance matrix of the observation noise is not invertible. A method that allows to build up the optimal filter in a number of cases is presented.

Kalman-Bucy filtering for singular output-noise covariance

GERMANI, Alfredo;MANES, COSTANZO
1999-01-01

Abstract

For a linear Gaussian stochastic system, the filtering problem is considered, when the covariance matrix of the observation noise is not invertible. A method that allows to build up the optimal filter in a number of cases is presented.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11697/37555
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