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Estimation of noisy telegraph processes: Nonlinear filtering versus nonlinear smoothing (Corresp.)

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1 Author(s)

In the estimation problem of a two-state stationary Markov process with Gaussian white noise added, the optimal smoother is a two-filter smoother. In a special case, the performance of the optimal nonlinear filter and smoother is evaluated analytically. Some asymptotic results are also derived.

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Information Theory, IEEE Transactions on  (Volume:31 ,  Issue: 3 )