White Noise vs. Wiener Process.
Abstract
Continuous time stochastic system models involving a Wiener process model for the additive noise on the observed process are inappropriate in actual use when nonlinear Ito integrals in the observed data have to be instrumented, and thus much of current non-linear filtering theory is of questionable practical utility. White noise models would appear to be more appropriate and this is illustrated by a canonical problem in system identification, both in terms of band-limited approximation of Ito integrals and in terms of direct white noise integrals.
Document Details
- Document Type
- Technical Report
- Publication Date
- Jan 01, 1975
- Accession Number
- ADA008644
Entities
People
- A.V. Balakrishnan
Organizations
- University of California, Los Angeles