Finite dimensional filters for moments and stochastic integrals of the state of nonlinear Benes systems

TitleFinite dimensional filters for moments and stochastic integrals of the state of nonlinear Benes systems
Publication TypeConference Paper
Year of Publication1998
AuthorsElliott, R., and V. Krishnamurthy
Conference NameInformation Theory, 1998. Proceedings. 1998 IEEE International Symposium on
Pagination330
Date Publishedaug.
KeywordsBenes nonlinearity, continuous time filters, continuous-time nonlinear systems, EM algorithm, expectation maximization algorithm, finite dimensional filters, integral equations, maximum likelihood estimation, ML estimates, model parameters, moments, nonlinear Benes systems, nonlinear filters, nonlinear systems, state, stochastic integrals, stochastic processes
Abstract

Finite dimensional filters for integrals and stochastic integrals of moments of the state for continuous-time nonlinear systems with Benes nonlinearity are derived. These new filters can be used with the expectation maximization (EM) algorithm to yield ML estimates of the model parameters

URLhttp://dx.doi.org/10.1109/ISIT.1998.708935
DOI10.1109/ISIT.1998.708935

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