Accession Number:

ADA125430

Title:

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

Descriptive Note:

Technical rept.,

Corporate Author:

MASSACHUSETTS INST OF TECH CAMBRIDGE STATISTICS CENTER

Personal Author(s):

Report Date:

1983-02-01

Pagination or Media Count:

12.0

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

Subject Categories:

  • Statistics and Probability
  • Acoustics

Distribution Statement:

APPROVED FOR PUBLIC RELEASE