Abstract
This article proposes a new filtering model for stationary Gaussian Markov statistical experiments given by diffusion-type difference stochastic equations.
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References
R. Sh. Liptser and A. N. Shiryaev, Statistics of Random Processes. II. Applications, Springer, Berlin, 2001.
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D. Koroliouk and V. S. Korolyuk, “Filtration of stationary Gaussian statistical experiments,” J. of Math. Sci., 229, No. 1, 30–35 (2018).
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Translated from Ukrains’kiĭ Matematychnyĭ Visnyk, Vol. 16, No. 3, pp. 372–382 July–September, 2019
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Korolyuk, V.S., Koroliouk, D.V. Filtering of stationary Gaussian statistical experiments. J Math Sci 246, 51–59 (2020). https://doi.org/10.1007/s10958-020-04722-3
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DOI: https://doi.org/10.1007/s10958-020-04722-3