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New exact non-linear filters by large Lie algebras

Published online by Cambridge University Press:  01 July 2016

V. E. Beneš
V. E. Beneš*
Affiliation:
Bell Laboratories, Murray HilO
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Extract

The ideas previously used (Beneš (1981)) to construct some finite-dimensional non-linear filters also yield related new filters of finite dimension with arbitrarily large bases; this is because the finite dimensionality is not destroyed by insertion of noiseless linear differential operations on the observations.

Type
Applied Probability in Biology and Engineering. An ORSA/TIMS Special Interest Meeting
Information
Advances in Applied Probability , Volume 16 , Issue 1 , March 1984 , pp. 14
Copyright
Copyright © Applied Probability Trust 1984 

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References

Beneš, V. E. (1981). Exact finite-dimensional filters for certain diffusions with nonlinear drift. Stochastics 5, 65–92.Google Scholar