A Simple Asymptotically Optimal Filter over an Infinite Horizon
نویسنده
چکیده
A filtering problem over an infinite horizon for a continuous time signal and discrete time observation in the presence of non Gaussian white noise is considered. Conditions are presented, under which a nonlinear Kalman type filter with limiter is asymptotically optimal in the mean square sense for long time intervals given provided the sampling frequency is sufficiently high.
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تاریخ انتشار 2001