EXACT FINITE-DIMENSIONAL FILTERS FOR DOUBLY STOCHASTIC AUTOREGRESSIVEPROCESSES

Authors
KRISHNAMURTHY V ELLIOTT RJ
Citation
V. Krishnamurthy et Rj. Elliott, EXACT FINITE-DIMENSIONAL FILTERS FOR DOUBLY STOCHASTIC AUTOREGRESSIVEPROCESSES, IEEE transactions on automatic control, 42(9), 1997, pp. 1289-1293
Citations number
13
Categorie Soggetti
Controlo Theory & Cybernetics","Robotics & Automatic Control","Engineering, Eletrical & Electronic
Journal title
IEEE transactions on automatic control → ACNP
ISSN journal
00189286
Volume
42
Issue
9
Year of publication
1997
Pages
1289 - 1293
Database
ISI
SICI code
0018-9286(1997)42:9<1289:EFFFDS>2.0.ZU;2-7
Abstract
In this paper, we derive exact finite-dimensional recursive filters fo r a class of doubly stochastic auto-regressive (AR) models, We assume that the parameters of the doubly stochastic AR process vary according to a nonlinear polynomial function of a Gaussian state-space process. Apart from being of mathematical interest, these finite-dimensional f ilters have potential applications in time-series analysis and image-e nhanced tracking of maneuvering targets.