Parameter Uncertainty in the Kalman--Bucy Filter
(2019)
Journal Article
Allan, A. L., & Cohen, S. N. (2019). Parameter Uncertainty in the Kalman--Bucy Filter. SIAM Journal on Control and Optimization, 57(3), 1646-1671. https://doi.org/10.1137/18m1167693
In standard treatments of stochastic filtering one first has to estimate the parameters of the model. Simply running the filter without considering the reliability of this estimate does not take into account this additional source of statistical unce... Read More about Parameter Uncertainty in the Kalman--Bucy Filter.