An approximation for the nonlinear filtering problem, with error bound†
- 4 April 1985
- journal article
- research article
- Published by Taylor & Francis in Stochastics
- Vol. 14 (4) , 247-271
- https://doi.org/10.1080/17442508508833342
Abstract
For the standard continuous-time nonlinear filtering problem an approximation approach is derived. The approximate filter is given by the solution to an appropriate discrete-time approximating filtering problem that can be explicitly solved by a finite-dimensional procedure. Furthermore an explicit upper bound for the approximation error is derived. The approximating problem is obtained by first approximating the signal and then using measure transformation to express the original observation process in terms of the approximating signalKeywords
This publication has 4 references indexed in Scilit:
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- Continuous-time approximations for the nonlinear filtering problemApplied Mathematics & Optimization, 1981
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- Statistics of Random Processes IPublished by Springer Nature ,1977