@inbook{497bfa0795ac4af0ba6175bad89d1152,

title = "Filtering of Stochastic Systems",

abstract = "Filter problems are formulated for stochastic systems which are not Gaussian systems. Both the estimation problem, the sequential estimation problem, and the filter problem are treated. A sufficient condition for the existence of a finite-dimensional filter system is formulated. The concept of a family of invariant conditional distributions is defined. It is described how to solve the filter problem by a measure transformation method. Cases treated include the Poisson–Gamma filter and the filter of an output-finite–state-finite stochastic system.",

keywords = "Filter problem, Poisson-Gamma filter",

author = "{van Schuppen}, {Jan H.}",

year = "2021",

doi = "10.1007/978-3-030-66952-2_9",

language = "English",

series = "Communications and Control Engineering",

publisher = "Springer",

pages = "327--373",

editor = "{van Schuppen}, J.H.",

booktitle = "Control and System Theory of Discrete-Time Stochastic Systems",

}