Fixed lag smoothing of scalar diffusions. Part I. The filtering-smoothing equation
نویسندگان
چکیده
منابع مشابه
FIXED LAG SMOOTHING OF SCALAR DIFFUSIONS–Part I: THE FILTERING-SMOOTHING EQUATION
The problem of optimal fixed lag smoothing of a diffusion process, xt is to estimate xt−τ for t > τ , given the output of a nonlinear noisy sensor up to time t. The nonlinear filtering-smoothing problem is to estimate both xt and xt−τ . The optimal estimators are the conditional expectations of the processes, given the measurements. We derive evolution equations for both the normalized and unno...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1996
ISSN: 0304-4149
DOI: 10.1016/s0304-4149(96)00086-5