Filtering with a limiter. (1998)

• Record Type: Journal Article
• Authors: Liptser, R.; Muzhikanov, P.
• Is Part Of: Journal of applied mathematics and stochastic analysis. Volume 11:Number 3(1998)
• Page Start: 289
• Page End: 300
• Publication Date: 1998
• Subjects: Kalman filter -- limiter -- asymptotic optimality; 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/S1048953398000240
• Languages: English
• ISSNs: 1048-9533

Abstract

Abstract : 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.