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Observation-Parameterised Risk-Sensitive State Estimation with Correlated Noise Processes

Florchinger, P; Malcolm, William


In this article we consider risk sensitive filtering and smoothing for a nonlinear scalar-valued dynamical system with correlated state and observer noise processes. The model we consider is an Itô diffusion state process observed through a Wiener proces

CollectionsANU Research Publications
Date published: 2004
Type: Conference paper
Source: IEEE Conference on Decision and Control Proceedings 2004
DOI: 10.1109/CDC.2004.1430361


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