Skip to Main Content
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  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 . Yau and Yau give a response to Daum's comments.