A Zakai equation derivation of the extended Kalman filter

Automatica

Volumn 46, Issue 3, 2010, Pages 620-624

  Elliott, Robert J ^a   Haykin, Simon ^b  

^a UNIVERSITY OF CALGARY   (Canada)

^b MCMASTER UNIVERSITY   (Canada)

Author keywords

Bayes' rule; Discrete time; Extended Kalman filter; Zakai equation

Indexed keywords

ADDITIVE GAUSSIAN NOISE; BAYES' RULE; CONDITIONAL DENSITY; CONVOLUTION TYPE; DISCRETE TIME; DISCRETE-TIME FILTERS; FIRST-ORDER APPROXIMATIONS; NON-LINEAR DYNAMICS; REFERENCE PROBABILITY; SIGNAL PROCESS; ZAKAI EQUATION;

EXTENDED KALMAN FILTERS; GAUSSIAN NOISE (ELECTRONIC); POSITION CONTROL; SIGNAL PROCESSING;

CONVOLUTION;

EID: 77549083672     PISSN: 00051098     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.automatica.2010.01.006     Document Type: Article

References (3)

1. Elliott R.J., Aggoun L., and Moore J.B. Hidden Markov models: Estimation and control. 2nd ed. (2006), Springer-Verlag, Berlin, Heidelberg, New York
2. Elliott R.J., and Krishnamurthy V. New finite dimensional filters for parameter estimation of discrete time linear Gaussian models. IEEE Trans. Automat. Control 44 (1998) 938-951
3. Jazwinski A.H. Stochastic processes and filtering (1970), Academic Press, New York