Title :
The solution of the nonlinear filtering equation as a likelihood function
Author_Institution :
Universit?? de Provence, Marseille C??dex
Abstract :
We give a new interpretation of the solution of the NLF Zakai equation. Using an idea due to Fleming and Mitter, this interpretation can be carried over to the case where the observation noise is a coloured noise -which is the case in practice. It is believed that this result gives a firm ground for using NLF algorithms based on (approximate) solution of Zakai equation, in practical applications.
Keywords :
Filtering; Nonlinear equations; White noise; Yttrium;
Conference_Titel :
Decision and Control including the Symposium on Adaptive Processes, 1981 20th IEEE Conference on
Conference_Location :
San Diego, CA, USA
DOI :
10.1109/CDC.1981.269538
