### Abstract

A system of equations is obtained for finding Bayesian estimates of the parameters of many-dimensional linear Markov processes when only certain of the components are observed. The eequations enable the authors simultaneously to carry out filtration of the unobservable components in the case of unknown process parameters. Estimation of the unknown parameters of the correlation function of Gaussian processes with rational spectral densities reduces to this problem.

Original language | English |
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Title of host publication | Eng Cybern |

Pages | 1142-1151 |

Number of pages | 10 |

Volume | 9 |

Edition | 6 |

Publication status | Published - Nov 1971 |

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### ASJC Scopus subject areas

- Engineering(all)

### Cite this

*Eng Cybern*(6 ed., Vol. 9, pp. 1142-1151)

**CONSTRUCTION OF BAYESIAN ESTIMATES OF PARAMETERS OF LINEAR MARKOV PROCESSES WITH OBSERVATION OF ONLY CERTAIN COMPONENTS.** / Konev, V. V.; Khazen, E. M.

Research output: Chapter in Book/Report/Conference proceeding › Chapter

*Eng Cybern.*6 edn, vol. 9, pp. 1142-1151.

}

TY - CHAP

T1 - CONSTRUCTION OF BAYESIAN ESTIMATES OF PARAMETERS OF LINEAR MARKOV PROCESSES WITH OBSERVATION OF ONLY CERTAIN COMPONENTS.

AU - Konev, V. V.

AU - Khazen, E. M.

PY - 1971/11

Y1 - 1971/11

N2 - A system of equations is obtained for finding Bayesian estimates of the parameters of many-dimensional linear Markov processes when only certain of the components are observed. The eequations enable the authors simultaneously to carry out filtration of the unobservable components in the case of unknown process parameters. Estimation of the unknown parameters of the correlation function of Gaussian processes with rational spectral densities reduces to this problem.

AB - A system of equations is obtained for finding Bayesian estimates of the parameters of many-dimensional linear Markov processes when only certain of the components are observed. The eequations enable the authors simultaneously to carry out filtration of the unobservable components in the case of unknown process parameters. Estimation of the unknown parameters of the correlation function of Gaussian processes with rational spectral densities reduces to this problem.

UR - http://www.scopus.com/inward/record.url?scp=0015158008&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0015158008&partnerID=8YFLogxK

M3 - Chapter

VL - 9

SP - 1142

EP - 1151

BT - Eng Cybern

ER -