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Filtering, smoothing and M-ary detection with discrete time Poisson observations

Elliott, Robert J; Malcolm, William; Aggoun, Lakhdar


In this article, we solve a class of estimation problems, namely, filtering smoothing and detection for a discrete time dynamical system with integer-valued observations. The observation processes we consider are Poisson random variables observed at discrete times. Here, the distribution parameter for each Poisson observation is determined by the state of a Markov chain. By appealing to a duality between forward (in time) filter and its corresponding backward processes, we compute dynamics...[Show more]

CollectionsANU Research Publications
Date published: 2005
Type: Journal article
Source: Stochastic Processes and their Applications
DOI: 10.1080/07362990500184808


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