DocumentCode
321337
Title
Exact finite dimensional filters for certain exponential functionals of Gaussian state space processes
Author
Krishnamurthy, Vikram ; Elliott, Robert J.
Author_Institution
Dept. of Electr. & Electron. Eng., Melbourne Univ., Parkville, Vic., Australia
Volume
2
fYear
1997
fDate
10-12 Dec 1997
Firstpage
1651
Abstract
In this paper, we derive finite dimensional filters for certain exponential functionals of the state of a continuous-time linear Gaussian process. Apart from being of mathematical interest, these new filters have applications in the state reconstruction of doubly-stochastic autoregressive processes. We also derive similar filters for exponential functionals of the state of nonlinear Benes systems
Keywords
Gaussian processes; autoregressive processes; filtering theory; state-space methods; Gaussian state space processes; continuous-time linear Gaussian process; doubly-stochastic autoregressive processes; exact finite dimensional filters; exponential functionals; nonlinear Benes systems; state reconstruction; Filtering; Linear systems; Nonlinear filters; Polynomials; State estimation; State-space methods; Statistics; Stochastic processes; Target tracking; Yttrium;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1997., Proceedings of the 36th IEEE Conference on
Conference_Location
San Diego, CA
ISSN
0191-2216
Print_ISBN
0-7803-4187-2
Type
conf
DOI
10.1109/CDC.1997.657751
Filename
657751
Link To Document