| New Results on the Innovations Problem for Non-Linear Filtering. (2002) | |||||||||
Abstract | |||||||||
| This report considers an observed stochastic process consisting of a signal with additive noise. It assumes that the signal has finite energy and that the signal and noise are independent. In this paper it is also shown, that under the above assumptions the innovations and observations algebra are equal, and thereby it provides a long-standing conjecture of Kailath. | |||||||||
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