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Trabajos de Estadistica

, Volume 6, Issue 2, pp 111–119 | Cite as

Kalman filter with a non-linear non-Gaussian observation relation

  • T. Cipra
  • A. Rubio
Article

Abstract

The dynamic linear model with a non-linear non-Gaussian observation relation is considered in this paper. Masreliez's theorem (see Masreliez's (1975)) of approximate non-Gaussian filtering with linear state and observation relations is extended to the case of a non-linear observation relation relation that can be approximated by a second-order Taylor expansion.

Key words

Kalman filter non-linear non-Gaussian filtering 

A.M.S. classification

62M20 62F35 62F15 60G35 

Resumen

El modelo lineal dinámico con observación nolineal y no-Gausiano se estudia en este artículo. Se extiende el teorema de Masreliez (ver. Masreliez (1975)) como una aproximación de filtrado no-Gausiano con ecuación de estado lineal y ecuación de observaciones también lineal, al caso en que la ecuación de observaciones nolineal pueda aproximarse mediante la extesión de Taylor de segundo orden.

Palabras clave

Filtro de Kalman filtrado nolineal no-Gausiano 

Clasificación A.M.S.

62M20 62F35 62F15 60G35 

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References

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Copyright information

© Springer 1991

Authors and Affiliations

  • T. Cipra
    • 1
  • A. Rubio
    • 2
  1. 1.Dept. of StatisticsCharles University of PraguePrague 8
  2. 2.Dpto. de MatemáticasUniversidad de ExtremaduraCáceres

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