Smoothing and likelihood ratio for Gaussian boundary value processes

Arunabha Bagchi; Hans Westdijk

doi:10.1109/9.35808

Smoothing and likelihood ratio for Gaussian boundary value processes

Arunabha Bagchi, Hans Westdijk

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Abstract

A new derivation, which does not need the invertibility assumption of the covariance matrix of the boundary data, is given for the smoothing of Gaussian two-point boundary value processes (TPBVP). The likelihood ratio for TPBV processes is then derived in terms of the system parameters by using the Krein factorization. The likelihood ratio involves the smoother of the process. An alternate expression for the likelihood ratio based on the filtered estimate of the state is also given

Original language	Undefined
Pages (from-to)	954-962
Journal	IEEE transactions on automatic control
Volume	34
Issue number	9
DOIs	https://doi.org/10.1109/9.35808
Publication status	Published - 1989

Keywords

IR-55761

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10.1109/9.35808

00035808

Cite this

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title = "Smoothing and likelihood ratio for Gaussian boundary value processes",

abstract = "A new derivation, which does not need the invertibility assumption of the covariance matrix of the boundary data, is given for the smoothing of Gaussian two-point boundary value processes (TPBVP). The likelihood ratio for TPBV processes is then derived in terms of the system parameters by using the Krein factorization. The likelihood ratio involves the smoother of the process. An alternate expression for the likelihood ratio based on the filtered estimate of the state is also given",

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T1 - Smoothing and likelihood ratio for Gaussian boundary value processes

AU - Bagchi, Arunabha

AU - Westdijk, Hans

PY - 1989

Y1 - 1989

N2 - A new derivation, which does not need the invertibility assumption of the covariance matrix of the boundary data, is given for the smoothing of Gaussian two-point boundary value processes (TPBVP). The likelihood ratio for TPBV processes is then derived in terms of the system parameters by using the Krein factorization. The likelihood ratio involves the smoother of the process. An alternate expression for the likelihood ratio based on the filtered estimate of the state is also given

AB - A new derivation, which does not need the invertibility assumption of the covariance matrix of the boundary data, is given for the smoothing of Gaussian two-point boundary value processes (TPBVP). The likelihood ratio for TPBV processes is then derived in terms of the system parameters by using the Krein factorization. The likelihood ratio involves the smoother of the process. An alternate expression for the likelihood ratio based on the filtered estimate of the state is also given

KW - IR-55761

U2 - 10.1109/9.35808

DO - 10.1109/9.35808

M3 - Article

SN - 0018-9286

VL - 34

SP - 954

EP - 962

JO - IEEE transactions on automatic control

JF - IEEE transactions on automatic control

IS - 9

ER -