Specific optimal estimation of special Markov jump processes

Authors:
A. V. Borisov
Affiliations:
Institute of Informatics Problems, Russian Academy of Sciences, Moscow, Russia
Venue:
Automation and Remote Control
Year:
2007

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Abstract

A solution to the filtering problem of states of special Markov jump processes that is optimal in the mean-square sense at the class of polynomial observation functions is presented. A comparison of the proposed estimates with the known estimates of optimal linear and nonlinear filtering is given.