Estimation of noisy telegraph processes: Nonlinear filtering versus nonlinear smoothing (Corresp.)
Yi‐Ching Yao · IEEE Transactions on Information Theory · 1985
In the estimation problem of a two-state stationary Markov process with Gaussian white noise added, the optimal smoother is a two-filter smoother. In a special case, the performance of the optimal nonlinear filter and smoother is evaluated analytically. Some asymptotic results are also derived.