Title :
Filters for reconstruction of higher order moments
Author :
Krishnamurthy, Vikram ; Evans, Jamie
Author_Institution :
Dept. of Electr. & Electron. Eng., Melbourne Univ., Parkville, Vic., Australia
Abstract :
We derive finite dimensional filters for the running sums of higher order moments of linear Gaussian systems. We also give filters for doubly stochastic AR models where the random AR parameter varies as a nonlinear function of a linear Gaussian process
Keywords :
Gaussian processes; Kalman filters; autoregressive processes; filtering theory; higher order statistics; linear systems; parameter estimation; recursive filters; signal reconstruction; Kalman filter; doubly stochastic AR models; finite dimensional filters; higher order moments reconstruction; linear Gaussian process; linear Gaussian systems; nonlinear function; random AR parameter; recursive algorithm; Density measurement; Equations; Gaussian processes; Hidden Markov models; Kalman filters; Linearity; Nonlinear filters; Random variables; State estimation; Stochastic processes;
Conference_Titel :
Digital Signal Processing Proceedings, 1997. DSP 97., 1997 13th International Conference on
Conference_Location :
Santorini
Print_ISBN :
0-7803-4137-6
DOI :
10.1109/ICDSP.1997.628000
