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.File in questo prodotto:
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