全球智库信息集成服务系统(G2TT): Hermite Polynomials Expansions for Discrete-Time Nonlinear Filtering.

G2TT

来源类型	Monograph (IIASA Working Paper)
规范类型	论文
	Hermite Polynomials Expansions for Discrete-Time Nonlinear Filtering.
	Celant G; Di Masi GB
发表日期	1987
出版者	IIASA, Laxenburg, Austria: WP-87-072
出版年	1987
语种	英语
摘要	A finite-dimensional approximation to general discrete-time nonlinear filtering problems is provided. It consists in a direct approximation to the recursive Bayes formula, based on a Hermite polynomials expansion of the transition density of the signal process. The approximation is in the sense of convergence, in a suitable weighted norm, to the conditional density of the signal process given the observations. The choice of the norm is in turn made so as to guarantee also the convergence of the conditional moments as well as to allow the evaluation of an upper bound for the approximation error.
主题	Adaption and Optimization (ADO)
URL	http://pure.iiasa.ac.at/id/eprint/2980/
来源智库	International Institute for Applied Systems Analysis (Austria)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/123435
推荐引用方式 GB/T 7714	Celant G,Di Masi GB. Hermite Polynomials Expansions for Discrete-Time Nonlinear Filtering.. 1987.