论文信息 - Exact filtering in exponential families: Discrete time

Exact filtering in exponential families: Discrete time

For partially observable processes (ξt, ηt) with conditional distributions within fixed (parametrized) exponential families for all times t, the parameters of the a-posteriori distributions ξtP(|η1,...,ηt) (ω) can be calculated by a recursive algorithm. A method to find the algorithm in this situation is given.

Günther Sawitzki | G. Sawitzki

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