Nonlinear Filtering : the Projection Filter
نویسندگان
چکیده
We present a new and systematic method of approximating exact nonlinear lters with nite dimensional lters, using the diierential geometric approach to statistics. We deene rigorously the projection lter in the case of exponential families. We propose a convenient exponential family, which allows to simplify the projection lter equation, and to deene an a posteriori measure of the performance of the projection lter.
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