A Further Note on Innovations, Martingales and Nonlinear Estimation

T Kailath; a. segal

A Further Note on Innovations, Martingales and Nonlinear Estimation

T Kailath, a. segal

Bar-Ilan University - The Alexander Kofkin Faculty of Engineering

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Abstract

We present a rigorous approach to nonlinear estimation of signals in additive white Gaussian noise using the innovations method. The general argument is deliberately chosen to follow the same lines as in the linear case given in a previous note. Although a much heavier use of martingales is necessary here, the parallelism is quite striking.

Original language	American English
Title of host publication	1973 IEEE Conference on Decision and Control including the 12th Symposium on Adaptive Processes
State	Published - 1973

Bibliographical note

Place of conference:USA

Cite this

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BT - 1973 IEEE Conference on Decision and Control including the 12th Symposium on Adaptive Processes

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A Further Note on Innovations, Martingales and Nonlinear Estimation

Abstract

Bibliographical note

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