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A Simple Development of the Wiener-Hopf Equation and the Derived Kalman Filter

โœ Scribed by Martin, J.


Book ID
121249490
Publisher
IEEE
Year
1969
Tongue
English
Weight
856 KB
Volume
AES-5
Category
Article
ISSN
0018-9251

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A Zakai equation derivation of the exten
โœ Robert J. Elliott; Simon Haykin ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 841 KB

A discrete time filter is considered where both the observation and signal process have non-linear dynamics with additive Gaussian noise. Using the reference probability framework a convolution type Zakai equation is obtained which updates the unnormalized conditional density. Using first order appr