The University of British Columbia

This paper is concerned with the application of extreme value theory (EVT) to the state level estimation problem for discrete-time, finite-state Markov chains hidden in additive colored noise and subjected to unknown nonlinear distortion. If the nonlinear distortion affects only those observations with small magnitudes or those that lie outside a finite interval, we show that the level estimation problem can be reduced to a curve fitting problem with a unique global minimum. Compared with optimum maximum likelihood estimation algorithms, the developed level estimation algorithms are computationally inexpensive and are not affected by the unknown nonlinearity as long as the extreme values of observations are not distorted. This work has been motivated by unknown deadzone and saturation nonlinearities introduced by sensors in data measurement systems. We illustrate the effectiveness of the new EVT-based level estimation algorithms with computer simulations