A concept of approximated densities for efficient nonlinear estimation

MaRDI QIDQ1424565zbMATH OpenFDO

Authors Virginie F. Ruiz

Publication date 16 March 2004

Published in EURASIP Journal on Applied Signal Processing (Search for Journal in Brave)

zbMATH Keywords

exponential distributionmaximum entropynon-Gaussian signal processingnonlinear adaptive filternonlinear estimation

Mathematics Subject Classification ID

Density estimation (62G07) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Review text

Summary: This paper presents the theoretical development of a nonlinear adaptive filter based on a concept of filtering by approximated densities (FAD). The most common procedures for nonlinear estimation apply the extended Kalman filter. As opposed to conventional techniques, the proposed recursive algorithm does not require any linearisation. The prediction uses a maximum entropy principle subject to constraints. Thus, the densities created are of an exponential type and depend on a finite number of parameters. The filtering yields recursive equations involving these parameters. The update applies the Bayes theorem. Through simulation on a generic exponential model, the proposed nonlinear filter is implemented and the results prove to be superior to that of the extended Kalman filter and a class of nonlinear filters based on partitioning algorithms.

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(11)

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• Nonlinear adaptive signal processing based on rational function
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