A simple asymptotically optimal filter over an infinite horizon

P. Chigansky, R. Liptser and B. Z. Bobrovsky

International Journal of Stochastic Analysis, 2001, vol. 14, 1-20

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.

Date: 2001
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/IJSA/14/464179.pdf (application/pdf)
http://downloads.hindawi.com/journals/IJSA/14/464179.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:464179

DOI: 10.1155/S1048953301000089

Access Statistics for this article

More articles in International Journal of Stochastic Analysis from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().