DocumentCode :
926044
Title :
Estimation and decision for observations derived from martingales: Part I, Representations
Author :
Vaca, Marco V. ; Snyder, Donald L.
Volume :
22
Issue :
6
fYear :
1976
fDate :
11/1/1976 12:00:00 AM
Firstpage :
691
Lastpage :
707
Abstract :
The observation process y considered is an additive composition of continuous and discontinuous components. The additive Gaussian, point, and jump process models, treated separately in the past, are all included here simultaneously. Representations for y in terms of its innovations and following a Girsanov-type measure transformation are derived. These are then used to develop a measure form of Bayes\´ rule that provides a convenient tool for the study of estimation and decision problems arising in a variety of applications including communication and control.
Keywords :
Bayes procedures; Decision procedures; Estimation; Innovations methods (stochastic processes); Jump processes; Martingales; Parameter estimation; Point processes; Stochastic processes; Additives; Communication system control; Technological innovation;
fLanguage :
English
Journal_Title :
Information Theory, IEEE Transactions on
Publisher :
ieee
ISSN :
0018-9448
Type :
jour
DOI :
10.1109/TIT.1976.1055643
Filename :
1055643
Link To Document :
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