ISSN:0090-9491    

DOI:10.1080/17442507608833118

出版商:Gordon and Breach Science Publishers, Ltd    

年代:1979

数据来源: Taylor

摘要:

An optimum nonlinear filter is realized by sequentially updating the spline coefficients of the relevant conditional distribution. The nonlinear filtering problem considered is that of phase demodulation with a two-dimensional phase process model. Speed and accuracy comparison of spline realization with other realizations, such as Fourier filter and point mass, will be provided

ISSN:0090-9491    

DOI:10.1080/17442507608833119

出版商:Gordon and Breach Science Publishers, Ltd    

年代:1979

数据来源: Taylor

摘要:

We study a statistical hypothesis testing problem, where a sample function of a Markov process with one of two sets of known parameters is observed over a finite time interval. When a log likelihood ratio test is used to discriminate between the two sets of parameters, we give bounds on the probability of choosing an incorrect hypothesis, and on the total probability of error, for both discrete and continuous time parameter, and discrete and continuous state space. The asymptotic behavior of the bounds is examined as the observation interval becomes infinite.

ISSN:0090-9491    

DOI:10.1080/17442507908833121

出版商:Gordon and Breach Science Publishers, Ltd    

年代:1979

数据来源: Taylor

ISSN:0090-9491    

DOI:10.1080/17442507908833122

出版商:Gordon and Breach Science Publishers, Ltd    

年代:1979

数据来源: Taylor

ISSN:0090-9491    

DOI:10.1080/17442507908833123

出版商:Gordon and Breach Science Publishers Ltd    

年代:1979

数据来源: Taylor

摘要:

An arbitrary nonlinear system with input a Gaussian process, which is such that its output process has finite second moments, admits two kinds of representations: the first in terms of a sequence of deterministic kernels and the second in terms of a single stochastic kernel. We consider here the identification of the sequence of deterministic kernels from the input and output processes, the representation of the system output when its input is a sample function of the Gaussian process or another equivalent Gaussian process, and the relationship of the sequence of kernels mentioned above to the Volterra expansion kernels when the system has a Volterra representation.

ISSN:0090-9491    

DOI:10.1080/17442507908833124

出版商:Gordon and Breach Science Publishers, Ltd    

年代:1979

数据来源: Taylor

ISSN:0090-9491    

DOI:10.1080/17442507908833125

出版商:Gordon and Breach Science Publishers, Ltd    

年代:1979

数据来源: Taylor

摘要:

For steering a linear stochastic system with bounded controls so as to be as close as possible to a given hyperplane at the terminal time, Benes proved that the controller that predicts which side of the hyperplane the state would be on with no further control, and then applies full “bang” in the appropriate direction, optimal, a result conjectured y Hilborn. In this paper a different proof of this result is presented, using martingale-based optimality criteria.

ISSN:0090-9491    

DOI:10.1080/17442507908833126

出版商:Gordon and Breach Science Publishers, Ltd    

年代:1979

数据来源: Taylor

ISSN:0090-9491    

DOI:10.1080/17442507908833127

出版商:Gordon and Breach Science Publishers, Ltd    

年代:1979

数据来源: Taylor

摘要:

A sample function drawn from a large class of independent increment processes with one of two sets of parameters is observed at evenly spaced time instants. The error probabilities associated with a standard hypothesis testing problem are studied as a function of the time interval between observations, holding the total number of observations fixed. A partial solution is obtained to the problem of choosing the optimal sampling rate.

ISSN:0090-9491    

DOI:10.1080/17442507908833128

出版商:Gordon and Breach Science Publishers, Inc    

年代:1979

数据来源: Taylor