Nonlinear filtering for discrete-time linear systems with non-Gaussian initial data
Casilda D. de Benito, Kenneth A. Loparo · IEEE Transactions on Automatic Control · 1989
The optimal minimum mean-square error filtering problem is discussed for a linear system with non-Gaussian initial distribution. An input/output realization is derived using an absolutely continuous change of probability measure. A representation result is presented which facilitates the derivation of optimal filter realization.>