Application of filtering equations to problems of statistics of random sequences

  • R. S. Liptser
  • A. N. Shiryayev
Part of the Applications of Mathematics book series (SMAP, volume 6)


The objective of this chapter is to show how the equations of optimal nonlinear filtering obtained for conditionally Gaussian random sequences can be applied to solving various problems of mathematical statistics. In particular, the present section deals with the problem of linear estimation of unobservable components of a multidimensional stationary wide-sense process (discrete time) with rational spectral density in the components accessible for observation.


Stationary Sequence Recursive Equation Gaussian Vector Recursive Computation Gaussian Sequence 
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Notes and references

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Copyright information

© Springer Science+Business Media New York 1978

Authors and Affiliations

  • R. S. Liptser
    • 1
  • A. N. Shiryayev
    • 2
  1. 1.Institute for Problems of Control TheoryMoscowUSSR
  2. 2.Institute of Control SciencesMoscowUSSR

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