DocumentCode
2858300
Title
A differential geometric approach to nonlinear filtering: the projection filter
Author
Brigo, Damiano ; Hanzon, Bernard ; Le Gland, Francois
Author_Institution
Dept. of Econ., Free Univ., Amsterdam, Netherlands
Volume
4
fYear
1995
fDate
13-15 Dec 1995
Firstpage
4006
Abstract
We present a new and systematic method of approximating exact nonlinear filters with finite dimensional filters, using the differential geometric approach in statistics. We define rigorously the projection filter in the case of exponential families. We propose a convenient exponential family, which allows one to simplify the projection filter equation, and to define an a posteriori measure of the performance of the projection filter
Keywords
approximation theory; differential equations; differential geometry; discrete time filters; filtering theory; nonlinear filters; probability; statistical analysis; approximation; differential geometry; discrete time syatems; finite dimensional filters; nonlinear filtering; probability; projection filter; statistics; stochastic differential equations; Differential equations; Econometrics; Filtering; Glands; Kalman filters; Nonlinear equations; Nonlinear filters; Partial differential equations; State estimation; Statistics;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1995., Proceedings of the 34th IEEE Conference on
Conference_Location
New Orleans, LA
ISSN
0191-2216
Print_ISBN
0-7803-2685-7
Type
conf
DOI
10.1109/CDC.1995.479232
Filename
479232
Link To Document