Abstract
It is well known that a systematical way to construct finite dimensional filter is to classify all finite dimensional estimation algebras. Mitter conjecture, which states that all functions in any finite dimensional estimation algebra are necessarily degree one polynomial, plays a crucial role in classifying all finite dimensional estimation algebras. The purpose of this paper is to prove the Mitter Conjecture for estimation algebra of dimension at most 5 with arbitrary state space dimension. †Dedicated to Professor Han-Fu Chen on the occasion of his 70th Birthday.
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