A GENERAL RECURSIVE DISCRETE-TIME FILTER

被引：14

作者：

ELLIOTT, RJ

机构：

来源：

JOURNAL OF APPLIED PROBABILITY | 1993年 / 30卷 / 03期

关键词：

RECURSIVE FILTER; UNNORMALIZED DENSITY; DISCRETE TIME; GIRSANOV THEOREM; FILTERING;

D O I：

10.2307/3214767

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A reference probability is explicitly constructed under which the signal and observation processes are independent. A simple. explicit recursive form is then obtained for the conditional density of the signal given the observations. Both nonlinear and linear filters are considered, as well as two different information patterns, AMS 1991 CLASSIFICATION: PRIMARY 93 E11 SECONDARY 60 G35

引用

页码：575 / 588

页数：14

共 9 条

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[2]

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[3]

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DIMASI, GB ;

RUNGGALDIER, WJ .

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[5]

ELLIOTT RJ, 1992, EXACT ADAPTIVE FILTE

[6]

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[7]

Jazwinski A. H., 2007, STOCHASTIC PROCESSES

[8]

MCGARTHY TP, 1974, STOCHASTIC SYSTEMS S

[9]

STETTNER L, 1989, LECTURE NOTES CONTRO, V126

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