We use the techniques of nonautonomous dynamics to derive the essential properties of the Kalman-Bucy filter with time-dependent coefficients.
The Kalman-Bucy filter revisited / Carmen Nunez; Russell Johnson. - In: DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS. - ISSN 1078-0947. - STAMPA. - 34:(2014), pp. 4139-4153. [10.3934/dcds.2014.34.4139]
The Kalman-Bucy filter revisited
JOHNSON, RUSSELL ALLAN
2014
Abstract
We use the techniques of nonautonomous dynamics to derive the essential properties of the Kalman-Bucy filter with time-dependent coefficients.
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