Title :
A note on filtering for independent increment processes (Corresp.)
fDate :
3/1/1970 12:00:00 AM
Abstract :
Using the equations of Fisher and Stear, a suboptimal filter for estimating the state of a linear system subject to non-Gaussian noise is developed. Some qualitative properties of this filter are derived.
Keywords :
Linear systems; State estimation; Additive noise; Differential equations; Distribution functions; Filtering; Gaussian noise; Gaussian processes; Linear systems; Nonlinear equations; Nonlinear filters; State estimation;
Journal_Title :
Information Theory, IEEE Transactions on
DOI :
10.1109/TIT.1970.1054431
