Comments on "Finite-dimensional filters with nonlinear drift" [and addendum]
Fred E. Daum, Stephen S.‐T. Yau, Shing–Tung Yau · IEEE Transactions on Aerospace and Electronic Systems · 1998
Over ten years ago Daum [1986-88] introduced nonlinear filters for discrete time measurements which are more general than the filters recently announced by Yau and Yau [1997] for continuous time observations. The authors say that, "Recently Yau and Yau introduced a new direct method to solve the estimation problem... . They factored the problem into two parts: 1) the on-line solution of a finite system of ordinary differential equations (ODEs), and 2) the off-line calculation of the Kolmogorov equation." However, this direct method of factorization was introduced over ten years ago as indicated explicitly in the quote from Daum [1987]. Yau and Yau give a response to Daum's comments.