Displaying similar documents to “A comparison of algorithms to filter noisy observations of a linear differential system driven by Brownian motion and a simple Markov switching process”

Nonlinear filtering for Markov systems with delayed observations

Antonella Calzolari, Patrick Florchinger, Giovanna Nappo (2009)

International Journal of Applied Mathematics and Computer Science

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This paper deals with nonlinear filtering problems with delays, i.e., we consider a system (X,Y), which can be represented by means of a system (X,Ŷ), in the sense that Yt = Ŷa(t), where a(t) is a delayed time transformation. We start with X being a Markov process, and then study Markovian systems, not necessarily diffusive, with correlated noises. The interest is focused on the existence of explicit representations of the corresponding filters as functionals depending on the observed...

On improving sensitivity of the Kalman filter

Petr Franěk (2002)

Kybernetika

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The impact of additive outliers on a performance of the Kalman filter is discussed and less outlier-sensitive modification of the Kalman filter is proposed. The improved filter is then used to obtain an improved smoothing algorithm and an improved state-space model parameters estimation.