A general recursive discrete-time filter
Keyword(s):
A reference probability is explicitly constructed under which the signal and observation processes are independent. A simple, explicit recursive form is then obtained for the conditional density of the signal given the observations. Both non-linear and linear filters are considered, as well as two different information patterns.
1993 ◽
Vol 30
(03)
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pp. 575-588
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Keyword(s):
2012 ◽
Vol 45
(5)
◽
pp. 1112-1127
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Keyword(s):
Keyword(s):