Filtering in Stochastic Systems: Analysis for the case of continuous observations with memory of arbitrary multiplicity

O. V. Rozhkova, N. S. Demin, J. Li, E. A. Moldovanova, N. M. Natalinova, V. A. Genkel

Research output: Contribution to journalConference articlepeer-review

Abstract

We consider stochastic systems with continuous time over observations with memory in the presence of an anomalous noise. The paper is devoted to analysis of some properties of an optimal unbiased in mean-square sense filter. In the case of anomalous noises action in the observation channel with memory, we have proved insensitivity of the filter to inaccurate knowledge of the matrix of anomalous noise intensity and its equivalence to a truncated filter constructed only over non-anomalous components of an observation vector.

Original languageEnglish
Article number012129
JournalJournal of Physics: Conference Series
Volume803
Issue number1
DOIs
Publication statusPublished - 2017
EventInternational Conference on Information Technologies in Business and Industry 2016 - Tomsk, Russian Federation
Duration: 21 Sep 201623 Sep 2016

ASJC Scopus subject areas

  • Physics and Astronomy(all)

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