Title :
On the maximal achievable accuracy in nonlinear filtering problems
Author :
Zeitouni, Ofer ; Dembo, Amir
Author_Institution :
Div. of Appl. Math., Brown Univ., Providence, RI, USA
fDate :
10/1/1988 12:00:00 AM
Abstract :
The optimal filtering error for a class of nonlinear cone-bounded filtering problems is analyzed for the case of observation noise intensity tending to zero. A sufficient condition for the resulting optimal error covariance matrix to tend to zero is derived by relating the nonlinear filtering problems to linear ones. The results are specialized for the case of nonlinear autoregressive moving-average (ARMA) processes
Keywords :
error analysis; filtering and prediction theory; statistical analysis; accuracy; noise; nonlinear ARMA processes; nonlinear filtering; optimal filtering error; sufficient condition; Covariance matrix; Filtering; Information systems; Laboratories; Mathematics; Maximum likelihood detection; Nonlinear filters; Optimal control; Sufficient conditions; Transfer functions;
Journal_Title :
Automatic Control, IEEE Transactions on
