Filtering with a limiter (improved performance)

Filtering with a limiter (improved performance)

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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: ,
Keywords: cybernetics
Abstract:

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.

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