DocumentCode
3076443
Title
A new nonlinear filtering formula non-Gaussian discrete time measurements
Author
Daum, F.E.
Author_Institution
Raytheon Company, Wayland, MA
fYear
1986
fDate
10-12 Dec. 1986
Firstpage
1030
Lastpage
1031
Abstract
An exact formula for computing the conditional mean of a random variable is derived for discrete time observations with non-Gaussian measurement noise. This formula is analogous to the well-known result of Fujisaki-Kallianpur-Kunita for continuous time observations, and it is a generalization of the discrete time formula recently derived by Takeuchi and Akashi. The derivation of the new formula is extremely elementary, and it is based on the judicious choice of a certain homotopy function.
Keywords
Filtering; Gaussian noise; Noise measurement; Time measurement;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1986 25th IEEE Conference on
Conference_Location
Athens, Greece
Type
conf
DOI
10.1109/CDC.1986.267532
Filename
4048921
Link To Document