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Detection and Filtering

  • Eugene Wong
  • Bruce Hajek
Part of the Springer Texts in Electrical Engineering book series (STELE)

Abstract

In both the detection problem and the filtering problem a sample path from some random process O is observed. In the detection problem, it is postulated that one of two known probability measures P or PO is given on the underlying space (Ω, A). Presumably the distribution of the observed process is different under P and PO. The problem is to intelligently guess which of the two measures is in effect, on the basis of the observation. In the filtering problem a random process ξ, which may be a coordinate of some other random process, is given and the problem is to produce at each time t an estimate of ξ t .

Keywords

Stochastic Differential Equation Detection Problem Counting Process Local Martingale Predictable Process 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag New York Inc. 1985

Authors and Affiliations

  • Eugene Wong
    • 1
  • Bruce Hajek
    • 2
  1. 1.Department of Electrical Engineering and Computer SciencesUniversity of CaliforniaBerkleyUSA
  2. 2.Department of Electrical and Computer EngineeringUniversity of Illinois, Urbana ChampaignUrbanaUSA

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