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Random evolutions in discrete and continuous time

โœ Scribed by Joel E. Cohen

Publisher
Elsevier Science
Year
1979
Tongue
English
Weight
779 KB
Volume
9
Category
Article
ISSN
0304-4149

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๐Ÿ“œ SIMILAR VOLUMES

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โœ L. Aggoun; L. Benkherouf ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 533 KB

This paper is concerned with the filtering problem of a discrete-time signal hidden in discrete-time random measures. Using measure change techniques as discussed in [l], recursive estimates of the signal are obtained. Also, a finite-state signal is discussed and filters of functionals of the signal

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An investigation of sampled estimators as an alternative to continuous-time Kalman filters and smoothers reveals the importance of a pre-sampler filter, the optimal sample rate for smoothers, the small number of lags required to approach ideal i~nite-lag smoothing, and the much lower sample rate acc