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A general recursive discrete-time filter

Part of: Stochastic processes Stochastic systems and control

Published online by Cambridge University Press:  14 July 2016

Robert J. Elliott
Robert J. Elliott*
Affiliation:
University of Alberta
*
∗ Postal address: Department of Statistics and Applied Probability, University of Alberta, Edmonton, Alberta, Canada, T6G 2G1.
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Abstract

A reference probability is explicitly constructed under which the signal and observation processes are independent. A simple, explicit recursive form is then obtained for the conditional density of the signal given the observations. Both non-linear and linear filters are considered, as well as two different information patterns.

Keywords

RECURSIVE FILTERUNNORMALIZED DENSITYDISCRETE TIMEGIRSANOV THEOREMFILTERING

MSC classification

Primary: 93E11: Filtering
Secondary: 60G35: Signal detection and filtering
Type
Research Papers
Information
Journal of Applied Probability , Volume 30 , Issue 3 , September 1993 , pp. 575 - 588
Copyright
Copyright © Applied Probability Trust 1993 

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References

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