Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Convergence of discrete-time Kalman filter estimate to continuous-time
  estimate for systems with unbounded observation   In this article, we complement recent results on the convergence of the state
estimate obtained by applying the discrete-time Kalman filter on a time-sampled
continuous-time system. As the temporal discretization is refined, the estimate
converges to the continuous-time estimate given by the Kalman--Bucy filter. We
shall give bounds for the convergence rates for the variance of the discrepancy
between these two estimates. The contribution of this article is to generalize
the convergence results to systems with unbounded observation operators under
different sets of assumptions, including systems with diagonaliz-able
generators, systems with admissible observation operators, and systems with
analytic semigroups. The proofs are based on applying the discrete-time Kalman
filter on a dense, numerable subset on the time interval [0,T] and bounding the
increments obtained. These bounds are obtained by studying the regularity of
the underlying semigroup and the noise-free output.

36
The categories of this paper are: cmp-lg
17
The categories of this paper are: q-fin
26
The categories of this paper are: bayes-an
9
The categories of this paper are: nlin
20
The categories of this paper are: acc-phys
10
The categories of this paper are: q-bio
22
The categories of this paper are: chao-dyn
29
The categories of this paper are: funct-an
19
The categories of this paper are: eess
32
The categories of this paper are: atom-ph
37
The categories of this paper are: supr-con
14
The categories of this paper are: math-ph
15
The categories of this paper are: nucl-ex
27
The categories of this paper are: comp-gas
16
The categories of this paper are: stat
1
The categories of this paper are: cs