A simple asymptotically optimal filter over an infinite horizon

P. Chigansky; R. Liptser; B. Z. Bobrovsky

doi:10.1155/S1048953301000089

A simple asymptotically optimal filter over an infinite horizon

P. Chigansky^*, R. Liptser, B. Z. Bobrovsky

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

Abstract

A filtering problem over an infinite horizon for a continuous time signal and discrete time observation in the presence of non-Gaussian white noise is considered. Conditions are presented, under which a nonlinear Kalman type filter with limiter is asymptotically optimal in the mean square sense for long time intervals given provided the sampling frequency is sufficiently high.

Original language	American English
Pages (from-to)	93-112
Number of pages	20
Journal	Journal of Applied Mathematics and Stochastic Analysis
Volume	14
Issue number	1
DOIs	https://doi.org/10.1155/S1048953301000089
State	Published - 2001
Externally published	Yes

Keywords

Asymptotic Optimality
Infinite Horizon
Kalman Filter
Limiter
Lower Error Bound
Non-Gaussian Noise

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10.1155/S1048953301000089

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title = "A simple asymptotically optimal filter over an infinite horizon",

abstract = "A filtering problem over an infinite horizon for a continuous time signal and discrete time observation in the presence of non-Gaussian white noise is considered. Conditions are presented, under which a nonlinear Kalman type filter with limiter is asymptotically optimal in the mean square sense for long time intervals given provided the sampling frequency is sufficiently high.",

keywords = "Asymptotic Optimality, Infinite Horizon, Kalman Filter, Limiter, Lower Error Bound, Non-Gaussian Noise",

author = "P. Chigansky and R. Liptser and Bobrovsky, {B. Z.}",

year = "2001",

doi = "10.1155/S1048953301000089",

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AU - Chigansky, P.

AU - Liptser, R.

AU - Bobrovsky, B. Z.

PY - 2001

Y1 - 2001

N2 - A filtering problem over an infinite horizon for a continuous time signal and discrete time observation in the presence of non-Gaussian white noise is considered. Conditions are presented, under which a nonlinear Kalman type filter with limiter is asymptotically optimal in the mean square sense for long time intervals given provided the sampling frequency is sufficiently high.

AB - A filtering problem over an infinite horizon for a continuous time signal and discrete time observation in the presence of non-Gaussian white noise is considered. Conditions are presented, under which a nonlinear Kalman type filter with limiter is asymptotically optimal in the mean square sense for long time intervals given provided the sampling frequency is sufficiently high.

KW - Asymptotic Optimality

KW - Infinite Horizon

KW - Kalman Filter

KW - Limiter

KW - Lower Error Bound

KW - Non-Gaussian Noise

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DO - 10.1155/S1048953301000089

M3 - Article

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SP - 93

EP - 112

JO - Journal of Applied Mathematics and Stochastic Analysis

JF - Journal of Applied Mathematics and Stochastic Analysis

IS - 1

ER -

A simple asymptotically optimal filter over an infinite horizon

Abstract

Keywords

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