The problem addressed by the Kalman-Bucy filter theory is the following one. Given a linear dynamical system driven by noise, construct a “real-time” estimate of the state of the system, based on noisy observations of the output of the system.


Optimal Filter Optimal Gain Step Predictor Innovation Sequence Projection Theorem 
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Copyright information

© Springer Science+Business Media New York 2002

Authors and Affiliations

  • Jon H. Davis
    • 1
  1. 1.Department of Mathematics and StatisticsQueen’s UniversityKingstonCanada

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