Accession Number : AD0757546

Title :   A Unified Approach to Detection, Estimation, and System Identification.

Descriptive Note : Technical rept.,

Corporate Author : TEXAS UNIV AUSTIN ELECTRONICS RESEARCH CENTER

Personal Author(s) : Park,Sung Kyou ; Lainiotis,Demetrios G.

Report Date : 22 AUG 1972

Pagination or Media Count : 205

Abstract : A unified approach is presented for the problem of simultaneous detection of random signals in additive white Gaussian noise, estimation of the signals and identification of the systems that generate the signals. The approach is based on the state-variable representation for random processes and makes use of the Markovian nature of the state vectors. Optimal solutions are derived for the cases where both the dynamical system for the signal state and the observation data are continuous, and both the system and the observation data are discrete. Optimal solutions are presented in the form of optimal nonlinear filtering for the sufficient statistic for Bayes decision, the signal state-vector and the parameter vector that characterize the system. This problem is treated for both single shot and multishot observations of various signal sequences. In addition, the optimal state vector estimation for the linear systems where the initial state vector is non-Gaussian is presented. (Author Modified Abstract)

Descriptors :   (*INFORMATION THEORY, PATTERN RECOGNITION), LINEAR SYSTEMS, STOCHASTIC PROCESSES, DECISION THEORY, IDENTIFICATION SYSTEMS, WHITE NOISE, NUMERICAL ANALYSIS, THEOREMS, ADAPTIVE CONTROL SYSTEMS, MATHEMATICAL MODELS

Subject Categories : Statistics and Probability
      Cybernetics

Distribution Statement : APPROVED FOR PUBLIC RELEASE