Title :
Finite dimensional filters for moments and stochastic integrals of the state of nonlinear Benes systems
Author :
Elliott, Robert ; Krishnamurthy, Vikram
Author_Institution :
Dept. of Sci., Alberta Univ., Edmonton, Alta., Canada
Abstract :
Finite dimensional filters for integrals and stochastic integrals of moments of the state for continuous-time nonlinear systems with Benes nonlinearity are derived. These new filters can be used with the expectation maximization (EM) algorithm to yield ML estimates of the model parameters
Keywords :
continuous time filters; integral equations; maximum likelihood estimation; nonlinear filters; nonlinear systems; stochastic processes; Benes nonlinearity; EM algorithm; ML estimates; continuous-time nonlinear systems; expectation maximization algorithm; finite dimensional filters; model parameters; moments; nonlinear Benes systems; state; stochastic integrals; Differential equations; Integral equations; Maximum likelihood estimation; Nonlinear filters; Nonlinear systems; Partial differential equations; Statistics; Stochastic processes; Stochastic systems; Yttrium;
Conference_Titel :
Information Theory, 1998. Proceedings. 1998 IEEE International Symposium on
Conference_Location :
Cambridge, MA
Print_ISBN :
0-7803-5000-6
DOI :
10.1109/ISIT.1998.708935
