A simple asymptotically optimal filter over an infinite horizon
P. Chigansky, R. Liptser, B.Z. Bobrovsky · International Journal of Stochastic Analysis · 2000
A filtering problem over an infinite horizon for a continuous time signal and discrete time observation in the presence of non‐Gaussian white noise is considered. Conditions are presented, under which a nonlinear Kalman type filter with limiter is asymptotically optimal in the mean square sense for long time intervals given provided the sampling frequency is sufficiently high.