AN INFINITE EXPANSION FOR NONLINEAR FILTERING

Authors
YU YQ DEFIGUEIREDO RJP
Citation
Yq. Yu et Rjp. Defigueiredo, AN INFINITE EXPANSION FOR NONLINEAR FILTERING, Stochastic processes and their applications, 51(2), 1994, pp. 329-340
Citations number
15
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Stochastic processes and their applications → ACNP
ISSN journal
03044149
Volume
51
Issue
2
Year of publication
1994
Pages
329 - 340
Database
ISI
SICI code
0304-4149(1994)51:2<329:AIEFNF>2.0.ZU;2-U
Abstract
An abstract filtering equation is derived for a partially observed sys tem. An infinite series expansion is obtained for the best mean square estimate in terms of the iterated Ito integrals with respect to the i nnovation process.