DocumentCode
3004466
Title
A further note on innovations, martingales and nonlinear estimation
Author
Kailath, T. ; Segall, A.
Author_Institution
Stanford University
fYear
1973
fDate
5-7 Dec. 1973
Firstpage
616
Lastpage
620
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control including the 12th Symposium on Adaptive Processes, 1973 IEEE Conference on
Conference_Location
San Diego, CA, USA
Type
conf
DOI
10.1109/CDC.1973.269234
Filename
4045147
Link To Document