A simple asymptotically optimal filter over an infinite horizon (Q5943719)
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scientific article; zbMATH DE number 1652602
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A simple asymptotically optimal filter over an infinite horizon |
scientific article; zbMATH DE number 1652602 |
Statements
A simple asymptotically optimal filter over an infinite horizon (English)
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7 November 2001
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A filtering problem over an infinite horizon for a continuous time signal and discrete time observation in the presence of non-Gaussian white noise is considered. Conditions are presented, under which a nonlinear Kalman type filter with limiter is asymptotically optimal in the mean square sense for given long time intervals provided the sampling frequency is sufficiently high. The proposed approach works in the situation when Goggin's approach can not be effectively extended for the asymptotic analysis.
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nonlinear Kalman filter
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asymptotic optimality
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indefinite horizon
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lower error bound
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continuous time signal
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discrete time observations
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