Accession Number : AD0770554

Title :   A Martingale Approach to Modeling, Estimation and Detection of Jump Processes.

Descriptive Note : Technical rept. no. 7050-21,

Corporate Author : STANFORD UNIV CALIF STANFORD ELECTRONICS LABS

Personal Author(s) : Segall,Adrian

Report Date : AUG 1973

Pagination or Media Count : 180

Abstract : The study contains a systematic approach to problems of modeling, nonlinear estimation and detection of signals in jump-type observations, namely processes whose paths are discontinuous. It is shown that modern martingale theory provides a powerful tool for attacking these problems in a unified and rigorous manner. A general model for describing signals in jump observations is presented. It is shown that a martingale model includes all the previously proposed ones and also covers the difficult case of past-dependent signals that arises in feedback communication and control problems. (Modified author abstract)

Descriptors :   *Signal processing, *Stochastic processes, Detection, Estimates, White noise, Information theory, Communication and radio systems, Control theory, Feedback, Theses

Subject Categories : Statistics and Probability
      Cybernetics

Distribution Statement : APPROVED FOR PUBLIC RELEASE