Coupled detection- estimation of Gaussian processes in Gaussian noise
- 1 January 1972
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Information Theory
- Vol. 18 (1) , 106-110
- https://doi.org/10.1109/tit.1972.1054752
Abstract
This paper considers the joint detection and estimation of Gauss-Markov processes in white Gaussian noise, where the operations of detection and estimation are strongly coupled. Explicit Bayes' optimal recursive estimation and detection rules are derived, and it is shown that the resulting optimal receiver is amenable to a causal estimator-correlator-type interpretation.Keywords
This publication has 5 references indexed in Scilit:
- Recursive Bayesian estimation with uncertain observation (Corresp.)IEEE Transactions on Information Theory, 1971
- Optimal recursive estimation with uncertain observationIEEE Transactions on Information Theory, 1969
- Simultaneous optimum detection and estimation of signals in noiseIEEE Transactions on Information Theory, 1968
- A Bayesian approach to problems in stochastic estimation and controlIEEE Transactions on Automatic Control, 1964
- A New Approach to Linear Filtering and Prediction ProblemsJournal of Basic Engineering, 1960