Estimation of Noisy Telegraph Processes; Nonlinear Filtering versus Nonlinear Smoothing.

Abstract

In the estimation problem of a two-state stationary Markov process with Gaussian white noise added, the optimal smoother is a two-filter smoother. In a special case, we compare analytically the optimal nonlinear filter and smoother and find that the latter is significantly better than the former when either the noise intensity or the rate of jump of the states is low. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Feb 01, 1983
Accession Number
ADA125430

Entities

People

  • Yi-ching Yao

Organizations

  • Massachusetts Institute of Technology

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Differential Equations
  • Equations
  • Filters
  • Filtration
  • Intensity
  • Markov Processes
  • Military Research
  • Noise
  • Probability
  • Random Variables
  • Standards
  • Statistics
  • Two Dimensional
  • United States
  • United States Government
  • White Noise

Fields of Study

  • Engineering

Readers

  • Acoustics.
  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.