The problem addressed by the Kalman-Bucy filter theory is the following one. Given a linear dynamical system driven by noise, construct a ``real-time'' estimate of the state of the system, based on noisy observations of the output of the system.
CITATION STYLE
Davis, J. H. (2002). Kalman-Bucy Filters (pp. 185–200). https://doi.org/10.1007/978-1-4612-0071-0_5
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