Title :
Nonlinear filtering for discrete-time linear systems with non-Gaussian initial data
Author :
De Benito, Casilda D. ; Loparo, Kenneth A.
Author_Institution :
Dept. of Syst. Eng., Case Western Reserve Univ., Cleveland, OH, USA
fDate :
7/1/1989 12:00:00 AM
Abstract :
The optimal minimum mean-square error filtering problem is discussed for a linear system with non-Gaussian initial distribution. An input/output realization is derived using an absolutely continuous change of probability measure. A representation result is presented which facilitates the derivation of optimal filter realization
Keywords :
discrete time systems; filtering and prediction theory; linear systems; probability; discrete time systems; input/output realization; linear systems; nonGaussian initial distribution; optimal minimum mean-square error filtering; probability measure; Automation; Filtering; Linear systems; Noise measurement; Nonlinear filters; Q measurement; Random processes; Random variables; Systems engineering and theory; White noise;
Journal_Title :
Automatic Control, IEEE Transactions on
