Recursive computations for the optimal tracking of time-varying parameters (Corresp.)

Author

Hilborn, C. ; Lainiotis, D.

Volume

Issue

fYear

1968

fDate

5/1/1968 12:00:00 AM

Firstpage

514

Lastpage

515

Abstract

Recursive relations are given for updating the conditional density $p(\\theta_{k} | X_{k-1}, \\cdots X_{1})$ (also for $p(\\theta_{k} | X_{k}, \\cdots , X_{1})$ ), where $\\theta_{k}$ is a parameter of the density of $X_{k}$ . The observations $X_{1}, X_{2}, \\cdots$ are assumed to be conditionally independent (i.e., for known parameters), and the sequence of time-varying parameters $\\theta_{1}, \\theta_{2}, \\cdots$ constitutes a Markov-M sequence. The result requires the storage of an intermediate function of $(\\theta_{k-1}, \\cdots , \\theta_{k-M})$ .

Keywords

Bayes procedures; Markov processes; Pattern classification; Probability functions; Tracking; Bismuth; Equations; Statistics;

fLanguage

English

Journal_Title

Information Theory, IEEE Transactions on

Publisher

ieee

ISSN

0018-9448

Type

jour

DOI

10.1109/TIT.1968.1054154

Filename

1054154

Link To Document

https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=910578