Multiple Integral Expansions for Nonlinear Filtering†
作者:
Daniel Ocone,
期刊:
Stochastics
(Taylor Available online 1983)
卷期:
Volume 10,
issue 1
页码: 1-30
ISSN:0090-9491
年代: 1983
DOI:10.1080/17442508308833260
出版商: Gordon and Breach Science Publishers Inc
数据来源: Taylor
摘要:
Multiple stochastic integral expansions are applied to the problem of filtering a signal observed in additive noise. It is shown that the optimal mean-square estimate may be represented as a ratio of two multiple integral series. A formula for expanding the product of two multiple integrals is developed and applied to deriving equations for the kernels of best, finite expansion approximations to the optimal filter. These equations are studied in detail in the quadratic case.
点击下载:
PDF (899KB)
返 回