Article ID: | iaor19992106 |
Country: | United States |
Volume: | 11 |
Issue: | 3 |
Start Page Number: | 289 |
End Page Number: | 300 |
Publication Date: | Jul 1998 |
Journal: | Journal of Applied Mathematics and Stochastic Analysis |
Authors: | Liptser R., Muzhikanov P. |
Keywords: | cybernetics |
We consider a filtering problem for a Gaussian diffusion process observed via discrete-time samples corrupted by a non-Gaussian white noise. Combining the Goggin's result on weak convergence for conditional expectation with diffusion approximation when a sampling step goes to zero we construct an asymptotic optimal filter. Our filter uses centered observations passed through a limiter. Being asymptotically equivalent to a similar filter without centering, it yields a better filtering accuracy in a prelimit case.