New results on the innovations problem for non-linear filtering

1 January 1981

journal article
research article
Published by Taylor & Francis in Stochastics

Vol. 4 (4) , 339-348
https://doi.org/10.1080/17442508108833170

Abstract

Consider an observed stochastic process consisting of a signal with additive noise. Assume that the signal has finite energy and that the signal and noise are independent. In this paper we show that under the above assumptions the innovations and observations σ-algebra are equal, thereby proving a long-standing conjecture of Kailath.

Keywords

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