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Communication Dans Un Congrès Année : 2011

Exact Kalman filtering in pairwise Gaussian switching systems

Résumé

We consider a general pairwise Markov Gaussian linear system (X,Y), where X is hidden and Y is observed, in which an exact Kalman filter (KF) is workable. There are two kinds of particular cases: either X is Markov and Y is not, or vice versa. We show that when the processed data suit the general model, the KF based on both particular cases produce similar approximate results. This is of importance when introducing stochastic Markovian switches. In fact, it is well known that the KF is no longer workable in the first case, while it is, as detailed in the paper, in the second one
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Dates et versions

hal-01347979 , version 1 (22-07-2016)

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  • HAL Id : hal-01347979 , version 1

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Dalila Benboudjema, Mohamed El Bouchraya Malainin, Wojciech Pieczynski. Exact Kalman filtering in pairwise Gaussian switching systems. ASMDA 2011 : Applied Stochastic Models and Data Analysis, Jun 2011, Rome, Italy. ⟨hal-01347979⟩
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