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A general approach of least squares estimation and optimal filtering
Least squares Optimal filtering Matched filter Noise Optimization Power Spectrum Density
2013/6/17
The least squares method allows fitting parameters of a mathematical model from experimental data. This article proposes a general approach of this method. After introducing the method and giving a fo...
Optimal filtering and the dual process
auxiliary variables Bayesian conjugacy Dirichlet process finite mixture models Cox-Ingersoll-Ross process hidden Markov model,Kalman filters
2013/6/14
We link optimal filtering for hidden Markov models to the notion of duality for Markov processes. We show that when the signal is dual to a process that has two components, one deterministic and one a...
Asymptotically optimal filtering in linear systems with fractional Brownian noises
fractional Brownian motion homogeneous linear system optimal filtering filtering error asymptotic variance
2009/2/23
In this paper, the filtering problem is revisited in the basic Gaussian homogeneous linear system driven by fractional Brownian motions. We exhibit a simple approximate filter which is asymptotically ...