Optimum nonlinear filtering of a doubly stochastic Poisson stream controlled by a purely discontinuous Markov process

Autor:	E. N. Fedosov
Rok vydání:	1995
Předmět:	Continuous-time Markov chain symbols.namesake Stochastic process Markov renewal process Variable-order Markov model symbols General Physics and Astronomy Applied mathematics Markov process Markov property Poisson distribution Event (probability theory) Mathematics
Zdroj:	Russian Physics Journal. 38:231-235
ISSN:	1573-9228 1064-8887
DOI:	10.1007/bf00559465
Popis:	The problem of filtering of a fluctuating Poisson event stream of stationary intensity by a purely discontinuous Markov process with known characteristics is solved. An equation that defines the variation of thea posteriori probability density of the intensity values in the time intervals between appearances of stream events and a formula for conversion of that probability density to event times are derived.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::c28f7225652df1d49fe2c84c68db6fe9 https://doi.org/10.1007/bf00559465 Zobrazit plný text záznamu Full text from SpringerLink