A simple asymptotically optimal filter over an infinite horizon

A simple asymptotically optimal filter over an infinite horizon

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Article ID: iaor20022077
Country: United States
Volume: 14
Issue: 1
Start Page Number: 93
End Page Number: 112
Publication Date: Jan 2001
Journal: Journal of Applied Mathematics and Stochastic Analysis
Authors: , ,
Keywords: probability
Abstract:

A filtering problem over an infinite horizon for a continuous time signal and discrete time observation in the presence of non-Gaussian white noise is considered. Conditions are presented, under which a nonlinear Kalman type filter with limiter is asymptotically optimal in the mean square sense for long time intervals given provided the sampling frequency is sufficiently high.

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