Title :
A further note on innovations, martingales and nonlinear estimation
Author :
Kailath, T. ; Segall, A.
Author_Institution :
Stanford University
Abstract :
We present a rigorous approach to nonlinear estimation of signals in additive white Gaussian noise using the innovations method. The general argument is deliberately chosen to follow the same lines as in the linear case given in a previous note. Although a much heavier use of martingales is necessary here, the parallelism is quite striking.
Keywords :
Contracts; Kalman filters; State estimation; Technological innovation; Vectors;
Conference_Titel :
Decision and Control including the 12th Symposium on Adaptive Processes, 1973 IEEE Conference on
Conference_Location :
San Diego, CA, USA
DOI :
10.1109/CDC.1973.269234
