Abstract
Over ten years ago Daum [1986-88] introduced nonlinear filters for discrete time measurements which are more general than the filters recently announced by Yau and Yau [1997] for continuous time observations. The authors say that, Recently Yau and Yau introduced a new direct method to solve the estimation problem... . They factored the problem into two parts: 1) the on-line solution of a finite system of ordinary differential equations (ODEs), and 2) the off-line calculation of the Kolmogorov equation. However, this direct method of factorization was introduced over ten years ago as indicated explicitly in the quote from Daum [1987]. Yau and Yau give a response to Daum's comments.
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