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A note on “a spectrum factorization method for the calculation of nonlinear filters of the Volterra type”

✍ Scribed by J. Katzenelson; L.A. Gould

Book ID
114036560
Publisher
Elsevier Science
Year
1966
Weight
45 KB
Volume
9
Category
Article
ISSN
0019-9958

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A note on the memory length of optimal n
A note on the memory length of optimal nonlinear filters
✍ Rami Atar; Ofer Zeitouni 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 86 KB

Consider the one-dimensional ÿltering problem with state di usion coe cient and observation noise coe cient 1-, where 1 2 ¡ ¡1 is ÿxed. In the regime → 0, we provide an example of state dynamics and a corresponding asymptotically optimal ÿlter whose memory length is short in a strong sense. This sta