title: Linear Kalman - Bucy filter with vector autoregressive signal and noise
metadata.name: dc.contributor.author
metadata.value: Tovstik, Tatiana M.
metadata.lang: -
metadata.name: dc.date.accessioned
metadata.value: 2021-05-04T19:27:37Z
metadata.lang: -
metadata.name: dc.date.available
metadata.value: 2021-05-04T19:27:37Z
metadata.lang: -
metadata.name: dc.date.issued
metadata.value: 2021-03
metadata.lang: -
metadata.name: dc.identifier.citation
metadata.value: Tovstik T.M. Linear Kalman - Bucy filter with vector autoregressive signal and noise. Vestnik of Saint Petersburg University. Mathematics. Mechanics. Astronomy, 2021, vol. 8 (66), issue 1, pp. 111–122.
metadata.lang: en_GB
metadata.name: dc.identifier.other
metadata.value: https://doi.org/10.21638/spbu01.2021.110
metadata.lang: -
metadata.name: dc.identifier.uri
metadata.value: http://hdl.handle.net/11701/28438
metadata.lang: -
metadata.name: dc.description.abstract
metadata.value: The linear Kalman Bucy filter problem for a system, at that a signal and a noise are
  vector independent stationary autoregressive processes with orders larger than 1, is investigated.
  The recurrent equations for filter and its error are delivered. The optimal way of
  the initial data definition is proposed. Some numerical examples are given. In one of them
  the algorithm leads to a stationary behavior at infinity. In the other example the Kalman -
  Bucy filter is impossible because the filter error goes to infinity. A behavior of a signal and
  its error is illustrated by a simulation of a signal and a noise as vector Gaussian stationary
  autoregressive processes. The simulation supports theoretical conclusions.
metadata.lang: en_GB
metadata.name: dc.language.iso
metadata.value: ru
metadata.lang: en_GB
metadata.name: dc.publisher
metadata.value: St Petersburg State University
metadata.lang: en_GB
metadata.name: dc.relation.ispartofseries
metadata.value: Vestnik of St Petersburg University. Mathematics. Mechanics. Astronomy;Volume 8 (66); Issue 1
metadata.lang: -
metadata.name: dc.subject
metadata.value: Kalman - Bucy filter
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: vector autoregressive stationary process of high order
metadata.lang: en_GB
metadata.name: dc.title
metadata.value: Linear Kalman - Bucy filter with vector autoregressive signal and noise
metadata.lang: en_GB
metadata.name: dc.type
metadata.value: Article
metadata.lang: en_GB
resources.filename: 111-122.pdf
resources.url: https://dspace.spbu.ru/bitstream/11701/28438/1/111-122.pdf
resources.format: Adobe PDF
resources.size: 404,01 kB