A Martingale Approach to Linear Recursive State Estimation

• 1 November 1972
• journal article
• Published by Society for Industrial & Applied Mathematics (SIAM) in SIAM Journal on Control
• Vol. 10  (4) , 754-766
• https://doi.org/10.1137/0310056

Abstract

Keywords

• MARTINGALE APPROACH
• LINEAR RECURSIVE
• RECURSIVE STATE
• STATE ESTIMATION