Title :
A new approximation method for nonlinear filtering using nilpotent harmonic analysis
Author :
DiMasi, Giovanni B. ; Taylor, Thomas J.
Author_Institution :
Dipartimento di Matematica Pura ed Applicata, Padova Univ., Italy
Abstract :
The authors use techniques of nilpotent harmonic analysis to introduce a new type of lifting of the discrete time unnormalized conditional density equation. The main result is that under certain broad conditions the information contained in a conditional statistic is also contained fin an associated statistic of a certain nonhomogeneous Markov process, with observations as driving noise
Keywords :
Markov processes; filtering and prediction theory; function approximation; harmonic analysis; statistical analysis; approximation method; conditional statistic; driving noise; nilpotent harmonic analysis; nonhomogeneous Markov process; nonlinear filtering; Approximation methods; Filtering; Fourier transforms; Harmonic analysis; Integral equations; Markov processes; Mathematics; Nonlinear equations; Statistics; Yttrium;
Conference_Titel :
Decision and Control, 1991., Proceedings of the 30th IEEE Conference on
Conference_Location :
Brighton
Print_ISBN :
0-7803-0450-0
DOI :
10.1109/CDC.1991.261855
