almost stochastic

on probability and optimization

  • home
  • about
  • archive
  • wiki
  • contact
skip to main | skip to sidebar

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 $Y_{1:n}$?
Read more »
author: Deniz on Wednesday, October 26, 2016 3 comments
categories: dynamical systems, stochastic filtering
Newer Posts Older Posts Home
my personal webpage.

rss

Posts
Atom
Posts
All Comments
Atom
All Comments

search

mathematics village

archive

  • ►  2020 (1)
    • ►  November 2020 (1)
  • ►  2019 (1)
    • ►  June 2019 (1)
  • ▼  2016 (3)
    • ▼  October 2016 (1)
      • A primer on filtering
    • ►  September 2016 (1)
    • ►  January 2016 (1)
  • ►  2015 (2)
    • ►  March 2015 (2)
  • ►  2014 (3)
    • ►  June 2014 (2)
    • ►  January 2014 (1)
  • ►  2013 (10)
    • ►  November 2013 (2)
    • ►  August 2013 (1)
    • ►  July 2013 (2)
    • ►  June 2013 (1)
    • ►  May 2013 (4)

band pass filter

  • analysis (3)
  • bayesian statistics (2)
  • chaos (1)
  • dynamical systems (2)
  • inequalities (1)
  • inverse problems (1)
  • linear algebra (1)
  • machine learning (3)
  • matrix factorizations (1)
  • maximum-likelihood (4)
  • measure theory (2)
  • monte carlo methods (5)
  • optimization (6)
  • probability (2)
  • sequential monte carlo (1)
  • stochastic differential equations (1)
  • stochastic filtering (1)
  • time series analysis (3)

links

  • I'm a bandit
  • Math ∩ Programming
  • Non-Elephant Dynamics
  • Tricki
  • Xi'an's Og
Powered by Blogger.
 
"There are some enterprises in which a careful disorderliness is the true method." (Moby Dick, chapter 82)
by Ömer Deniz Akyıldız.