Cybernetics And Systems Analysis
International Theoretical Science
Journal
Yasinsky V.K.,1 Dovgun A.Y.,2 Yasinsky E.V.,3
1Yu. Fed’kovych National University, Chernivtsi, Ukraine, e-mail: yasinsk@list.ru
2Bukovyna State University of Finance and Economics, Chernivtsi, Ukraine, e-mail: andy2323@mail.ru
3Centre for Graduate Education in Applied Psychology, Edmonton, Alberta, Canada, e-mail: yevgeny@athabascau.ca
Abstract. The Kalman–Busy filter that can be modeled by computer statistical design is constructed for stochastic dynamic systems with Poisson perturbations. It is proved that a stationary filter coincides with the Wiener filter for the optimal average quadratic filtration of stationary sequences in the absence of Poisson perturbations. Refs: 13 titles.
Keywords: Kalman–Bucy filter, Riccati equation, optimal filter, Poisson perturbations, stochastic dynamic systems.
