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Kalman Filtering in Triplet Markov Chains

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2 Author(s)
B. Ait-El-Fquih ; CITI, Inst. Nat. des Telecommun., Evry ; F. Desbouvries

Let x = {xn} nisinIN be a hidden process, y = {yn}nisinIN an observed process, and r = {rn}nisinIN some additional process. We assume that t = (x, r, y) is a (so-called "Triplet") vector Markov chain (TMC We first show that the linear TMC model encompasses and generalizes, among other models, the classical state-space systems with colored process and/or measurement noise(s). We next propose restoration Kalman-like filters for arbitrary linear Gaussian (LG) TMC

Published in:

IEEE Transactions on Signal Processing  (Volume:54 ,  Issue: 8 )