The nonlinear MMSE filter for partially observed systems driven by non-Gaussian white noise, with applications to failure estimation
- 1 December 1984
- conference paper
- Published by Institute of Electrical and Electronics Engineers (IEEE)
- Vol. 23, 644-650
- https://doi.org/10.1109/cdc.1984.272086
Abstract
The problem of estimating the state of a system subjected to jump inputs has been used as a model for several practical problems. This paper presents a rigorous derivation of the previously unknown minimum mean square error estimator for the state of such systems. The derivation is general enough to encompass a wide variety of non-Gaussian (as well as Gaussian) statistics for the input stochatic process.Keywords
This publication has 0 references indexed in Scilit: