DocumentCode
1236842
Title
Smoothing and likelihood ratio for Gaussian boundary value processes
Author
Bagchi, Arunabha ; Westdijk, Hans
Author_Institution
Dept. of Appl. Math., Twente Univ., Enschede, Netherlands
Volume
34
Issue
9
fYear
1989
fDate
9/1/1989 12:00:00 AM
Firstpage
954
Lastpage
962
Abstract
A new derivation, which does not need the invertibility assumption of the covariance matrix of the boundary data, is given for the smoothing of Gaussian two-point boundary value processes (TPBVP). The likelihood ratio for TPBV processes is then derived in terms of the system parameters by using the Krein factorization. The likelihood ratio involves the smoother of the process. An alternate expression for the likelihood ratio based on the filtered estimate of the state is also given
Keywords
boundary-value problems; probability; state estimation; BVP; Gaussian two-point boundary value processes; Krein factorization; likelihood ratio; smoothing; state estimation; system parameters; Boundary conditions; Covariance matrix; Differential equations; Markov processes; Mathematics; Motion measurement; Smoothing methods; State estimation; Stochastic processes;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/9.35808
Filename
35808
Link To Document