Smoothing for linear systems erxcited by point processes with state–dependent rates
作者:
M.A. Ingram,
A.H. Haddad,
期刊:
Stochastic Analysis and Applications
(Taylor Available online 1993)
卷期:
Volume 11,
issue 2
页码: 163-180
ISSN:0736-2994
年代: 1993
DOI:10.1080/07362999308809309
出版商: Marcel Dekker, Inc.
数据来源: Taylor
摘要:
Smoothing for a linear system driven by a marked point process with a rate that depends on the state of the system is considered. A linear combination of the states is observed in additive white Gaussian noise. A smoother that uses estimation and detection is simulated on a computer and its mean squared error (MSE) is compared with the theoretical MSE of the optimal linear smoother and filter. The falso alarm rate is shown to depend strongly on the region of support of the mark distribution. When false alarms are low, the estimation/detection scheme has lower MSE than the optimal linear smoother.
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