Maximum Likelihood State Estimation of Semi-Markovian Switching System in Non-Gaussian Measurement Noise

Abstract

In the work presented here, we consider state and parameter estimation of a semi-nonlinear Markov jump system in a non-Gaussian noise environment. The non-Gaussian measurement noise is approximated by a finite Gaussian mixture model (GMM). We propose a maximum likelihood (ML) solution to this state estimation problem which leads to two expectation… (More)

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@article{Huang2010MaximumLS, title={Maximum Likelihood State Estimation of Semi-Markovian Switching System in Non-Gaussian Measurement Noise}, author={Dongliang Huang and Henry Leung}, journal={IEEE Transactions on Aerospace and Electronic Systems}, year={2010}, volume={46} }