Nonlinear Filtering with Counting Observations

Adrian Segall; Mark H.A. Davis; Thomas Kailath

doi:10.1109/TIT.1975.1055360

Nonlinear Filtering with Counting Observations

Adrian Segall
, Mark H.A. Davis
, Thomas Kailath

Research output: Contribution to journal › Article › peer-review

63 Scopus citations

Abstract

We apply some recent results in martingale theory and the innovations method to obtain the evolution of the conditional mean and conditional density of a process that modulates the rate of a counting process.

Original language	English
Pages (from-to)	143-149
Number of pages	7
Journal	IEEE Transactions on Information Theory
Volume	21
Issue number	2
DOIs	https://doi.org/10.1109/TIT.1975.1055360
State	Published - Mar 1975
Externally published	Yes

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title = "Nonlinear Filtering with Counting Observations",

abstract = "We apply some recent results in martingale theory and the innovations method to obtain the evolution of the conditional mean and conditional density of a process that modulates the rate of a counting process.",

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Nonlinear Filtering with Counting Observations

Abstract

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