Inferences from optimal filtering equation

DOI10.1007/S10986-015-9289-5MaRDI QIDQ746982zbMATH OpenOpenAlexFDO

Authors L. A. Markovich

Publication date 22 October 2015

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1402.1823

zbMATH Keywords

Kalman filterToeplitz matrixoptimal filteringMarkov sequencenormal correlation

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35) Discrete-time Markov processes on general state spaces (60J05)

Abstract: An important objective of the classical processing of stationary random sequences under nonparametric uncertainty is the problem of filtering in case when the distribution of the underlying signal is unknown. In this paper it is assumed that an unknown useful signal $(S_n{)}_{nge1}$ is Markov. This allows us to construct an estimate of the useful signal, expressed in terms of the distribution density function of an observable random sequence $(X_n{)}_{nge1}$. The equation of the optimal Bayesian estimation (so called equation of optimal filtering) of such signal has been received by A.V. Dobrovidov. Our main result is the following. It is proved that when the unobservable Markov sequence is defined by a linear equation with the Gaussian noise, the equation of optimal filtering coincides with the classical Kalman's filter and the conditional expectation defined by the theorem on normal correlation.

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Cited in

(4)

• Nonparametric estimation of multivariate density and its derivative by dependent data using gamma kernels
• Asymptotically \(\epsilon\)-optimal nonparametric procedure for nonlinear filtering of stationary sequences with unknown statistical characteristics
• Bias-correction of Kalman filter estimators associated to a linear state space model with estimated parameters
• Calculation of coefficients of equations of conditionally optimal filters

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