Filtering Problem (stochastic processes)
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Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. In the theory of stochastic processes, the filtering problem is a mathematical model for a number of filtering problems in signal processing and the like. The general idea is to form some kind of "best estimate" for the true value of some system, given only some (potentially noisy) observations of that system. The problem of optimal non-linear filtering (even for non-stationary case) was solved by Ruslan L. Stratonovich (1959, 1960), see also Harold J. Kushner''s work...
Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. In the theory of stochastic processes, the filtering problem is a mathematical model for a number of filtering problems in signal processing and the like. The general idea is to form some kind of "best estimate" for the true value of some system, given only some (potentially noisy) observations of that system. The problem of optimal non-linear filtering (even for non-stationary case) was solved by Ruslan L. Stratonovich (1959, 1960), see also Harold J. Kushner''s work and Moshe Zakai''s, who introduced a simplified dynamics for the unnormalized conditional law of the filter[4] known as Zakai equation.
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