New Results on the Innovations Problem for Non-Linear Filtering.

Abstract

This report considers an observed stochastic process consisting of a signal with additive noise. It assumes that the signal has finite energy and that the signal and noise are independent. In this paper it is also shown, that under the above assumptions the innovations and observations algebra are equal, and thereby it provides a long-standing conjecture of Kailath.

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Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1980
Accession Number
ADA081574

Entities

People

  • Deborah F. Allinger
  • Sanjoy K. Mitter

Organizations

  • Massachusetts Institute of Technology

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Air Force
  • Computer Science
  • Differential Equations
  • Electrical Engineering
  • Engineering
  • Equations
  • Filtration
  • Hilbert Space
  • Inequalities
  • Integrals
  • Linear Filtering
  • Mathematics
  • Observation
  • Probability
  • Random Variables
  • Scientific Research
  • Stochastic Processes

Fields of Study

  • Engineering

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.