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2016/10/26

A primer on filtering

Say that you have a dynamical process of interest $X_1,\ldots,X_n$ and you can only observe the process with some noise, i.e., you get an observation sequence $Y_1,\ldots,Y_n$. What is the optimal way to estimate $X_n$ conditioned on the whole sequence of observations $Y_{1:n}$?
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author: Deniz on Wednesday, October 26, 2016 3 comments
categories: dynamical systems, stochastic filtering
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"There are some enterprises in which a careful disorderliness is the true method." (Moby Dick, chapter 82)
by Ömer Deniz Akyıldız.