Accession Number:

ADA222215

Title:

Filters with Small Non-Linearities

Descriptive Note:

Corporate Author:

ALBERTA UNIV EDMONTON DEPT OF STATISTICS AND APPLIED PROBABILITY

Personal Author(s):

Report Date:

1988-01-01

Pagination or Media Count:

5.0

Abstract:

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.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE