Stochastic Systems

Estimating the state and parameters of nonlinear systems with non-white observation noise

I. D. Siluyanova

Moscow

Abstract: The method to estimate the state variables and parameters in stochastic systems of Refs [1, 2] is extended to the case where noise in observation is not white and is determined by a stochastic differential equation.

UDC: 62-501.5


Received: 14.12.1979

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