Filtering with a limiter
1998 ◽
Vol 11
(3)
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pp. 289-300
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Keyword(s):
We consider a filtering problem for a Gaussian diffusion process observed via discrete-time samples corrupted by a non-Gaussian white noise. Combining the Goggin's result [2] on weak convergence for conditional expectation with diffusion approximation when a sampling step goes to zero we construct an asymptotic optimal filter. Our filter uses centered observations passed through a limiter. Being asymptotically equivalent to a similar filter without centering, it yields a better filtering accuracy in a prelimit case.
Keyword(s):
Keyword(s):
2009 ◽
Vol 01
(04)
◽
pp. 517-527
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1991 ◽
Vol 23
(04)
◽
pp. 798-808
◽
2010 ◽
Vol 15
(0)
◽
pp. 1267-1295
◽
2017 ◽
Vol 446
(1)
◽
pp. 786-800
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Keyword(s):
Keyword(s):