Abstract
Equation (3.1 or 3) mathematically describes the dynamic model in the Kalman-Bucy filter, whose output is a stochastic vector process to be estimated on the basis of noise-contaminated observations. To complete the Kalman-Bucy model for the estimation problem, we now define the observation process.
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© 1988 Springer-Verlag Berlin Heidelberg
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Ruymgaart, P.A., Soong, T.T. (1988). The Kalman-Bucy Filter. In: Mathematics of Kalman-Bucy Filtering. Springer Series in Information Sciences, vol 14. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-73341-3_4
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DOI: https://doi.org/10.1007/978-3-642-73341-3_4
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-18781-3
Online ISBN: 978-3-642-73341-3
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