A simple asymptotically optimal filter over an infinite horizon. (2001)

• Record Type: Journal Article
• Authors: Chigansky, P.; Liptser, R.; Bobrovsky, B. Z.
• Is Part Of: Journal of applied mathematics and stochastic analysis. Volume 14:Number 1(2001)
• Page Start: 93
• Page End: 112
• Publication Date: 2001
• Subjects: Kalman filter -- limiter -- asymptotic optimality -- infinite horizon -- lower error bound -- non-Gaussian noise; Mathematical models -- Periodicals; Computer simulation -- Periodicals; Computer science -- Mathematics -- Periodicals; Computer science -- Mathematics; Computer simulation; Mathematical models; Applied Mathematics; Periodicals; Electronic journals; 519.22
• DOI: 10.1155/S1048953301000089
• Languages: English
• ISSNs: 1048-9533

Abstract

Abstract : A filtering problem over an infinite horizon for a continuous time signal and discrete time observation in the presence of non-Gaussian white noise is considered. Conditions are presented, under which a nonlinear Kalman type filter with limiter is asymptotically optimal in the mean square sense for long time intervals given provided the sampling frequency is sufficiently high.