Regular Jump Processes and Their Detection and Filtering.

Abstract

A class of regular jump processes (RJPs) is introduced. A RJP is described in terms of the intensity function of its associated stochastic point process and the state-transition density of its embedded random state sequence. Expressions for the joint occurrence statistics of these processes are derived. Assuming an information stochastic process to causually modulate an observed RJP, the author obtains the joint occurrence statistics of the resulting compound jump processes. The latter is shown to appropriately incorporate the causal MMSE estimates of the conditional intensity and state-transition functions. The results are used to derive a general likelihood-ratio formula for detection, filtering and estimation for RJPs. (Author)

Document Details

Document Type
Technical Report
Publication Date
Dec 01, 1972
Accession Number
AD0756223

Entities

People

  • Izhak Rubin

Organizations

  • University of California, Los Angeles

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Data Science
  • Detection
  • Filtration
  • Intensity
  • Mathematics
  • Sequences
  • Statistics
  • Stochastic Processes
  • Transitions

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Chemistry (specifically Chemical Fluorescence)
  • Statistical inference.