Optimal Filtering of a Gaussian Signal in the Presence of Levy Noise
Abstract
Many engineering applications require extracting a signal from observations corrupted by additive noise, possibly heavy-tailed. We assume that the observation noise is a Levy process, while the signal is Gaussian, and derive a non-linear recursive filter that minimizes the L2 error. A sub-optimal filter is proposed for numerical purposes, and simulations show that it out performs the existing linear filter.
Document Details
- Document Type
- Technical Report
- Publication Date
- Jan 01, 1995
- Accession Number
- ADA336874
Entities
People
- Hyungsok Ahn
- Raisa E. Feldman
Organizations
- University of California, Santa Barbara