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Approximations to solutions of the zakai filtering equation

✍ Scribed by Elliott, Robert J.; Glowinski, Roland


Book ID
127294212
Publisher
Taylor and Francis Group
Year
1989
Tongue
English
Weight
606 KB
Volume
7
Category
Article
ISSN
0736-2994

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A Zakai equation derivation of the exten
✍ Robert J. Elliott; Simon Haykin πŸ“‚ Article πŸ“… 2010 πŸ› Elsevier Science 🌐 English βš– 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