EVALUATION OF LIKELIHOOD FUNCTIONS

被引：44

作者：

DUNCAN, TE

机构：

[1] Information and Control Engineering, The University of Michigan, Ann Arbor

来源：

INFORMATION AND CONTROL | 1968年 / 13卷 / 01期

关键词：

D O I：

10.1016/S0019-9958(68)90795-X

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

An expression is obtained for the likelihood function for the detection of a stochastic signal (diffusion process) in white noise. A stochastic differential equation is then obtained for the evolution of the likelihood function and the coefficients of this differential equation are related to a corresponding nonlinear filtering problem. Some extensions are noted to diffusion process signals in correlated noise and to more general stochastic signals. © 1968 Academic Press Inc.

引用

页码：62 / &

共 23 条

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