مرکز منطقه ای اطلاع رساني علوم و فناوري - Recursive computations for the optimal tracking of time-varying parameters (Corresp.)

DocumentCode :

910578

Title :

Recursive computations for the optimal tracking of time-varying parameters (Corresp.)

Author :

Hilborn, C. ; Lainiotis, D.

Volume :

Issue :

fYear :

1968

fDate :

5/1/1968 12:00:00 AM

Firstpage :

514

Lastpage :

515

Abstract :

Recursive relations are given for updating the conditional density $p(\\theta_{k} | X_{k-1}, \\cdots X_{1})$ (also for $p(\\theta_{k} | X_{k}, \\cdots , X_{1})$ ), where $\\theta_{k}$ is a parameter of the density of $X_{k}$ . The observations $X_{1}, X_{2}, \\cdots$ are assumed to be conditionally independent (i.e., for known parameters), and the sequence of time-varying parameters $\\theta_{1}, \\theta_{2}, \\cdots$ constitutes a Markov-M sequence. The result requires the storage of an intermediate function of $(\\theta_{k-1}, \\cdots , \\theta_{k-M})$ .