Robustness of the nonlinear filter

被引：20
作者：
Bhatt, AG
Kallianpur, G
Karandikar, RL
机构：
[1] Indian Stat Inst, New Delhi 110016, India
[2] Univ N Carolina, Ctr Stochast Proc, Chapel Hill, NC USA
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1999年 / 81卷 / 02期
关键词：
nonlinear filtering; robustness;
D O I：
10.1016/S0304-4149(98)00106-9
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：
In the nonlinear filtering model with signal and observation noise independent, we show that the filter depends continuously on the law of the signal. We do not assume that the signal process is Markov and prove the result under minimal integrability conditions. The analysis is based on expressing the nonlinear filter as a Wiener functional via the Kallianpur-Striebel Bayes formula. (C) 1999 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：247 / 254
页数：8
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