Exact fast computation of optimal filter in gaussian switching linear systems

IEEE Signal Processing Letters

Volumn 20, Issue 7, 2013, Pages 701-704

  Derrode, Stephane ^a   Pieczynski, Wojciech ^b  

^a AIX MARSEILLE UNIVERSITÉ   (France)

^b TELECOM SUDPARIS   (France)

Author keywords

Conditionally Gaussian linear state space model; Kalman filter; optimal statistical filter; switching systems

Indexed keywords

CONDITIONALLY GAUSSIAN; FAST COMPUTATION; LINEAR STATE SPACE MODEL; MARKOV SWITCHING; OPTIMAL FILTER; OPTIMAL STATISTICAL FILTER; RANDOM SEQUENCE; SWITCHING LINEAR SYSTEMS;

HIDDEN MARKOV MODELS; KALMAN FILTERS; LINEAR SYSTEMS; OPTIMIZATION; SWITCHING SYSTEMS;

GAUSSIAN DISTRIBUTION;

EID: 84878711624     PISSN: 10709908     EISSN: None     Source Type: Journal    
DOI: 10.1109/LSP.2013.2261494     Document Type: Article

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