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JOURNALS // Avtomatika i Telemekhanika // Archive

Avtomat. i Telemekh., 1979 Issue 10, Pages 42–50 (Mi at9546)

Stochastic Systems

Recurrent linear filtering of Markov sequences

N. A. Firsov

Moscow

Abstract: The paper is concerned with filtering of partially observable component is described by a linear equation with random coefficients and the observable one is a polynomial of a finite length of the unobservable one. The polynomial coefficients are also assumed random. Equations are specified which determine an optimal linear filter and deterministic recurrent relations which describe the r.m.s. filtering error. Examples are given.

UDC: 519.27


Received: 30.11.1978


 English version:
Automation and Remote Control, 1980, 40:10, 1434–1441

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