An estimation approach for linear stochastic systems based on characteristic functions

@article{Idan2017AnEA,
  title={An estimation approach for linear stochastic systems based on characteristic functions},
  author={Moshe Idan and Jason L. Speyer},
  journal={Automatica},
  year={2017},
  volume={78},
  pages={153-162}
}
Abstract This paper presents an alternative, characteristic function based approach for the Bayesian design of estimators for dynamic linear systems and linear detection problems. For a measurement update, the a posteriori characteristic function of the unnormalized conditional probability density function (ucpdf) of the state given the measurement history is obtained as a convolution of the a priori characteristic function of the ucpdf with the characteristic function of the measurement noise… CONTINUE READING

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