Abstract
This paper deals with the estimation of the state variable of continuous-discrete linear state space models with multiplicative noise. Specifically, the optimal minimum variance linear filter for that class of models is constructed. Moreover, the solutions of the differential equations that describe the evolution of the two first conditional moments between observations are obtained and an algorithm for their numerical computation is also given. The performance of the linear filter is illustrated by means of numerical experiments.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.