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New results on the innovations problem for non-linear filtering

 

作者: Deborah F. Allinger,   Sanjoy K. Mitter,  

 

期刊: Stochastics  （Taylor Available online 1981）
卷期: Volume 4, issue 4  

页码: 339-348

 

ISSN:0090-9491

 

年代: 1981

 

DOI:10.1080/17442508108833170

 

出版商: Gordon and Breach Science Publishers Inc,

 

数据来源: Taylor

 

摘要:

Consider an observed stochastic process consisting of a signal with additive noise. Assume that the signal has finite energy and that the signal and noise are independent. In this paper we show that under the above assumptions the innovations and observations σ-algebra are equal, thereby proving a long-standing conjecture of Kailath.

 

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