Recursive filtering and smoothing for Gaussian reciprocal processes with continuous indices | IEEE Conference Publication | IEEE Xplore

Recursive filtering and smoothing for Gaussian reciprocal processes with continuous indices


Abstract:

In this paper, we study continuous index Gaussian reciprocal processes (Grp's) (or two-point boundary valued processes) with Dirichlet boundary conditions. Our main contr...Show More

Abstract:

In this paper, we study continuous index Gaussian reciprocal processes (Grp's) (or two-point boundary valued processes) with Dirichlet boundary conditions. Our main contributions are 1) deriving first order white noise driven representations from the second order correlated noise driven representations of Grp's given by Krener, Frezza, and Levy; 2) deriving Kalman-Bucy like recursive filtering equations for Grp's with continuous indices; and 3) deriving recursive smoothing equations for Grp's with continuous indices.
Date of Conference: 28 June 2009 - 03 July 2009
Date Added to IEEE Xplore: 18 August 2009
ISBN Information:

ISSN Information:

Conference Location: Seoul, Korea (South)

Contact IEEE to Subscribe

References

References is not available for this document.