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Bayes Formula for Optimal Filter with n-ple Markov Gaussian Errors |
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| Authors: | Pranab K Mandal V Mandrekar |
| Institution: | (1) EURANDOM, PO Box 513, 5600 MB Eindhoven, The Netherlands. e-mail;(2) Michigan State University, East Lansing, MI, 48824, U.S.A. |
| Abstract: | We consider the nonlinear filtering problem where the observation noise process is n-ple Markov Gaussian. A Kallianpur–Striebel type Bayes formula for the optimal filter is obtained. |
| Keywords: | nonlinear filtering Bayes formula n-ple Markov Gaussian process |
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