EVALUATION OF LIKELIHOOD FUNCTIONS

被引：44
作者：
DUNCAN, TE
机构：
[1] Information and Control Engineering, The University of Michigan, Ann Arbor
来源：
INFORMATION AND CONTROL | 1968年 / 13卷 / 01期
关键词：
D O I：
10.1016/S0019-9958(68)90795-X
中图分类号：
TP301 [理论、方法];
学科分类号：
081202 ;
摘要：
An expression is obtained for the likelihood function for the detection of a stochastic signal (diffusion process) in white noise. A stochastic differential equation is then obtained for the evolution of the likelihood function and the coefficients of this differential equation are related to a corresponding nonlinear filtering problem. Some extensions are noted to diffusion process signals in correlated noise and to more general stochastic signals. © 1968 Academic Press Inc.
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页码：62 / &
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