Title :
An averaging principle for filtering a jump process with point process observations
Author_Institution :
Ecole Superieure d´´Electr., Gif-sur-Yvette, France
fDate :
5/1/1988 12:00:00 AM
Abstract :
A proof of the following result is given. Le Xt and Yt be two jump processes which modulate the intensity of a multivariate point process N t, and suppose that the process Xt is a fast´ Markov chain with a unique invariant probability distribution. Then the filtering equations for Yt can be obtained by considering, instead of the original problem, the averaged problem where the intensity is replaced by the averaged intensity
Keywords :
Markov processes; filtering and prediction theory; probability; averaged intensity; averaging principle; fast Markov chain; filtering; invariant probability distribution; jump process; multivariate point process; point process observations; Gaussian processes; Information filtering; Information filters; Intensity modulation; Probability distribution; Stochastic processes; Taylor series;
Journal_Title :
Information Theory, IEEE Transactions on
