Title :
Exact finite dimensional filters for certain exponential functionals of Gaussian state space processes
Author :
Krishnamurthy, Vikram ; Elliott, Robert J.
Author_Institution :
Dept. of Electr. & Electron. Eng., Melbourne Univ., Parkville, Vic., Australia
Abstract :
In this paper, we derive finite dimensional filters for certain exponential functionals of the state of a continuous-time linear Gaussian process. Apart from being of mathematical interest, these new filters have applications in the state reconstruction of doubly-stochastic autoregressive processes. We also derive similar filters for exponential functionals of the state of nonlinear Benes systems
Keywords :
Gaussian processes; autoregressive processes; filtering theory; state-space methods; Gaussian state space processes; continuous-time linear Gaussian process; doubly-stochastic autoregressive processes; exact finite dimensional filters; exponential functionals; nonlinear Benes systems; state reconstruction; Filtering; Linear systems; Nonlinear filters; Polynomials; State estimation; State-space methods; Statistics; Stochastic processes; Target tracking; Yttrium;
Conference_Titel :
Decision and Control, 1997., Proceedings of the 36th IEEE Conference on
Conference_Location :
San Diego, CA
Print_ISBN :
0-7803-4187-2
DOI :
10.1109/CDC.1997.657751
