Filtering for fast mean-reverting processes

Abstract

We consider nonlinear filtering applications to target tracking based on a vector of multi-scaled models where some of the processes are rapidly mean reverting to their local equilibria. We focus attention on target tracking problems because multiple scaled models with fast mean-reversion (FMR) are a simple way to model latency in the response of tracking… (More)
DOI: 10.3233/ASY-2010-1011

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