Abstract
A reference probability is explicitly constructed under which the signal and observation processes are independent. A simple, explicit recursive form is then obtained for the conditional density of the signal given the observations. Both non-linear and linear filters are considered, as well as two different information patterns.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Reference9 articles.
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14 articles.
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