Title :
A finite-dimensional filter for hybrid observations
Author :
Elliott, Robert J. ; Van Der Hoek, John
Author_Institution :
Dept. of Math. Sci., Alberta Univ., Edmonton, Alta., Canada
fDate :
5/1/1998 12:00:00 AM
Abstract :
The paper considers a system whose dynamics are described in terms of the hybrid of a VAR(1)-type process and discrete state-space Markov chain. The paper provides a recursive expression for the conditional density/distributions of these two processes, given a set of observations which are a noisy linear combination of these two processes
Keywords :
Markov processes; autoregressive processes; filtering theory; matrix algebra; observers; probability; VAR(1)-type process; conditional density/distributions; discrete state-space Markov chain; finite-dimensional filter; hybrid observations; Density measurement; Filtration; Gaussian noise; Nonlinear filters; Random variables; Signal processing; State-space methods; Statistical distributions; Time measurement; Vectors;
Journal_Title :
Automatic Control, IEEE Transactions on
