Discrete time nonlinear filtering with marked point process observations
作者:
F. Dufour,
D. Kannan,
期刊:
Stochastic Analysis and Applications
(Taylor Available online 1999)
卷期:
Volume 17,
issue 1
页码: 99-115
ISSN:0736-2994
年代: 1999
DOI:10.1080/07362999908809590
出版商: Marcel Dekker, Inc.
数据来源: Taylor
摘要:
This work discusses the problem of estimating a nonlinear signal process with nonadditive non–Gaussian noise via a marked point process observation. We begin by introducing a modeling of discrete–time marked point processes. In order to derive the exact filter, namely the conditional density of the signal given the observation history, a reference probability is introduced; this probability measure renders the signal and the observation processes independent, as needed. We present a discretetime version of Zakai equation corresponding to our model. By specializing the signal to be linear, we moreover show, under suitable assumptions, that the filter is finite dimensional
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