Title :
Smoothing and likelihood ratio for Gaussian boundary value processes
Author :
Bagchi, Arunabha ; Westdijk, Hans
Author_Institution :
Dept. of Appl. Math., Twente Univ., Enschede, Netherlands
fDate :
9/1/1989 12:00:00 AM
Abstract :
A new derivation, which does not need the invertibility assumption of the covariance matrix of the boundary data, is given for the smoothing of Gaussian two-point boundary value processes (TPBVP). The likelihood ratio for TPBV processes is then derived in terms of the system parameters by using the Krein factorization. The likelihood ratio involves the smoother of the process. An alternate expression for the likelihood ratio based on the filtered estimate of the state is also given
Keywords :
boundary-value problems; probability; state estimation; BVP; Gaussian two-point boundary value processes; Krein factorization; likelihood ratio; smoothing; state estimation; system parameters; Boundary conditions; Covariance matrix; Differential equations; Markov processes; Mathematics; Motion measurement; Smoothing methods; State estimation; Stochastic processes;
Journal_Title :
Automatic Control, IEEE Transactions on
