Exact nonlinear filtering via Gauss transform eigenfunctions
Eytan Paldi, Arye Nehorai · 1991
By imposing mild restrictions on the analytic form of the probability density functions (PDFs) characterizing the model, the family of filtering problems for which exact recursive solutions are known is extended. It is shown that the recursive computation can be done with bounded complexity per iteration on the new family. This family has the potential to model many filtering problems.>