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

V. V. Konev, E. M. Khazen

    Research output: Chapter in Book/Report/Conference proceedingChapter

    1 Citation (Scopus)

    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 languageEnglish
    Title of host publicationEng Cybern
    Pages1142-1151
    Number of pages10
    Volume9
    Edition6
    Publication statusPublished - Nov 1971

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    Spectral density
    Markov processes

    ASJC Scopus subject areas

    • Engineering(all)

    Cite this

    Konev, V. V., & Khazen, E. M. (1971). CONSTRUCTION OF BAYESIAN ESTIMATES OF PARAMETERS OF LINEAR MARKOV PROCESSES WITH OBSERVATION OF ONLY CERTAIN COMPONENTS. In 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.

    Eng Cybern. Vol. 9 6. ed. 1971. p. 1142-1151.

    Research output: Chapter in Book/Report/Conference proceedingChapter

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