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On measure transformations for combined filtering and parameter estimation in discrete time

✍ Scribed by Giovanni B. Di Masi; Wolfgang J. Runggaldier

Publisher: Elsevier Science
Year: 1982
Tongue: English
Weight: 307 KB
Volume: 2
Category: Article
ISSN: 0167-6911
DOI: 10.1016/s0167-6911(82)80044-3

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✦ Synopsis

Combined filtering and parameter estimation in discrete time is studied as a nonlinear filtering problem. The measure transformation approach is used and the Zakai equation derived. Some applications are discussed. Kqwordst Discrete-time stochastic systems. Nonlinear filtering. Parameter estimation, Measure transformation. Zakai equation.

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