Filtering with a limiter

R. Liptser, P. Muzhikanov

Type: Article

Publication Date: 1998-01-01

Citations: 1

DOI: https://doi.org/10.1155/s1048953398000240

Abstract

We consider a filtering problem for a Gaussian diffusion process observed via discrete‐time samples corrupted by a non‐Gaussian white noise. Combining the Goggin′s result [2] on weak convergence for conditional expectation with diffusion approximation when a sampling step goes to zero we construct an asymptotic optimal filter. Our filter uses centered observations passed through a limiter. Being asymptotically equivalent to a similar filter without centering, it yields a better filtering accuracy in a prelimit case.

Locations

International Journal of Stochastic Analysis - View - PDF

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Works That Cite This (0)

Action	Title	Year	Authors

Works Cited by This (2)

Action	Title	Year	Authors
+	Convergence of filters with applications to the Kalman-Bucy case	1992	Eimear M. Goggin
+	Convergence of Probability Measures	1969	J. F. C. Kingmán P. Billingsley