Browsing by Subject "Filtering theory"
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Conference Object
On the relation of nonanticipative rate distortion function and filtering theory
(2013)In this paper the relation between nonanticipative rate distortion function (RDF) and Bayesian filtering theory is investigated using the topology of weak convergence of probability measures on Polish spaces. The relation ...
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Conference Object
Optimization of directed information and relations to filtering theory
(Institute of Electrical and Electronics Engineers Inc., 2014)In this paper we generalize the relation between nonanticipative Rate Distortion Function (RDF) and filtering theory, to processes which are affected by the reproduction process, by utilizing the topology of weak convergence ...
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Article
Performance analysis for a changepoint problem
(1999)Nonlinear stochastic differential equations are used to model a version of the changepoint problem. State estimates of the minimum mean-square-error-type are used in likelihood-ratio tests to detect the time of change. ...