Informatics and Applications
2017, Volume 11, Issue 1, pp 1119
CLASSIFICATION BY CONTINUOUSTIME OBSERVATIONS IN MULTIPLICATIVE NOISE I: FORMULAE FOR BAYESIAN ESTIMATE
Abstract
The twopart paper is devoted to the estimation of a finitestate random vector given the continuoustime noised observations. The key feature is that the observation noise intensity is a function of the estimated vector that makes useless the known results in the optimal filtering. The estimate is obtained both in the explicit integral form and as a solution to a stochastic differential system with some jump processes in the righthand side.
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[+] About this article
Title
CLASSIFICATION BY CONTINUOUSTIME OBSERVATIONS IN MULTIPLICATIVE NOISE I: FORMULAE FOR BAYESIAN ESTIMATE
Journal
Informatics and Applications
2017, Volume 11, Issue 1, pp 1119
Cover Date
20170230
DOI
10.14357/19922264170102
Print ISSN
19922264
Publisher
Institute of Informatics Problems, Russian Academy of Sciences
Additional Links
Key words
Bayesian estimate; optimal filtering; stochastic differential system; random jump process; multiplicative noise
Authors
A. V. Borisov
Author Affiliations
Institute of Informatics Problems, Federal Research Center “Computer Sciences and Control” of the Russian
Academy of Sciences, 442 Vavilov Str.,Moscow 119333, Russian Federation
