Nonlinear filtering via generalized Edgeworth series andGauss-Hermite quadrature

Authors:
S. Challa;Y. Bar-Shalom;V. Krishnamurthy
Affiliations:
Dept. of Electr. & Electron. Eng., Melbourne Univ., Parkville, Vic.;-;-
Venue:
IEEE Transactions on Signal Processing
Year:
2000

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Abstract

In this correspondence, an approximate nonlinear filter is presented for systems with continuous time dynamics and discrete time measurements. The filter is based on a combination of generalized Edgeworth series (GES) expansion of probability density functions and Gauss-Hermite quadrature (GHQ); application to a passive tracking problem is also presented