Filters with Small Non-Linearities
ALBERTA UNIV EDMONTON DEPT OF STATISTICS AND APPLIED PROBABILITY
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The Kalman filter provides a finite dimensional solution when the signal and observation processes are linear and have Gaussian noise. In this paper the effect of a small nonlinearity in the signal is discussed by considering stochastic flows for the signal and a Girsanov transformation for the observation. The result can be expressed in terms of Gaussian densities.
- Statistics and Probability