FURTHER NOTE ON INNOVATIONS, MARTINGALES AND NONLINEAR ESTIMATION.

T. Kailath; A. Segall

FURTHER NOTE ON INNOVATIONS, MARTINGALES AND NONLINEAR ESTIMATION.

T. Kailath
, A. Segall

Bar-Ilan University - The Alexander Kofkin Faculty of Engineering

Research output: Contribution to conference › Paper › peer-review

1 Scopus citations

Abstract

A rigorous approach to nonlinear estimation of signals in additive white Gaussian noise using the innovations method is presented. The general argument is deliberately chosen to follow the same lines as in the linear case given in a previous note (see Engineering Index 1972 Pt 1 p 223 abstract 11189). Although a much heavier use of martingales is necessary here, the parallelism is quite striking.

Original language	English
Pages	616-620
Number of pages	5
State	Published - 1973
Event	IEEE Conf on Decis and Control, incl Symp on Adapt Processes, 12th, Proc, Dec 5-7 1973 - San Diego, CA, USA Duration: 5 Dec 1973 → 7 Dec 1973

Conference

Conference	IEEE Conf on Decis and Control, incl Symp on Adapt Processes, 12th, Proc, Dec 5-7 1973
City	San Diego, CA, USA
Period	5/12/73 → 7/12/73

Cite this

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AB - A rigorous approach to nonlinear estimation of signals in additive white Gaussian noise using the innovations method is presented. The general argument is deliberately chosen to follow the same lines as in the linear case given in a previous note (see Engineering Index 1972 Pt 1 p 223 abstract 11189). Although a much heavier use of martingales is necessary here, the parallelism is quite striking.

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Y2 - 5 December 1973 through 7 December 1973

ER -

FURTHER NOTE ON INNOVATIONS, MARTINGALES AND NONLINEAR ESTIMATION.

Abstract

Conference

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