Studies the a posteriori probability density function of the state of a discrete-time system. By applying the Bayesian law to the state and measurement equations of the stochastic system, the a posteriori density is obtained in closed-form and computed recursively for arbitrary i.i.d. state noise and binary measurement noise (or signal). As an example, the highly impulsive state process driven by the noise with α-stable distribution is estimated and significantly suppressed from the measurement
Published in:
Signals, Systems and Computers, 1993. 1993 Conference Record of The Twenty-Seventh Asilomar Conference on
Date of Conference: 1-3 Nov 1993