A closed-form optimal nonlinear smoothing algorithm is derived for estimation of signal that is indirectly observed through a discrete time point process (DTPP). A finite-state Markov signal influences the rate of the point process. The smoothers obtained are simple, recursive, and finite dimensional. An illustrative example of the derived estimation scheme is presented.
Published in:
Information Theory, IEEE Transactions on
(Volume:30
,
Issue:
2
)
Date of Publication: Mar 1984